Monitoring disruptions in financial markets.
We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding instabilities or disruptions in financial risk. We discuss in detail the th...
| Publicado en: | Journal of Econometrics Vol. 135; no. 1/2; pp. 77 - 125 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
November/December 2006
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |