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...

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Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 135; no. 1/2; pp. 77 - 125
Autores principales:	Andreou, Elena, Ghysels, Eric
Formato:	Artículo
Publicado:	Elsevier Science November/December 2006
Materias:	ARCH model (Econometrics) Change-point problems Sequential analysis
Acceso en línea:	Ver este registro en EBSCOhost