|Title:||Monitoring multivariate variance changes|
|Abstract:||We propose a model-independent multivariate sequential procedure to monitor changes in the vector of componentwise unconditional variances in a sequence of p-variate random vectors. The asymptotic behavior of the detector is derived and consistency of the procedure stated. A detailed simulation study illustrates the performance of the procedure confronted with different types of data generating processes. We conclude with an application to the log returns of a group of DAX listed assets.|
|Subject Headings:||multivariate sequences|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_2915_SFB823_Pape_Wied_Galeano_II.pdf||DNB||497.2 kB||Adobe PDF||View/Open|
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