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...

Full description

Bibliographic Details

Published in:	Journal of Econometrics Vol. 135; no. 1/2; pp. 77 - 125
Main Authors:	Andreou, Elena, Ghysels, Eric
Format:	Article
Published:	Elsevier Science November/December 2006
Subjects:	ARCH model (Econometrics) Change-point problems Sequential analysis
Online Access:	View this record in EBSCOhost