Authors: Pape, Katharina
Wied, Dominik
Galeano, Pedro
Title: Monitoring multivariate variance changes
Language (ISO): en
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
variance changes
threshold function
online detection
URI: http://hdl.handle.net/2003/34183
http://dx.doi.org/10.17877/DE290R-7814
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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