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dc.contributor.authorPape, Katharina-
dc.contributor.authorWied, Dominik-
dc.contributor.authorGaleano, Pedro-
dc.date.accessioned2015-08-04T10:43:46Z-
dc.date.available2015-08-04T10:43:46Z-
dc.date.issued2015-
dc.identifier.urihttp://hdl.handle.net/2003/34183-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7814-
dc.description.abstractWe 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;29/2015en
dc.subjectmultivariate sequencesen
dc.subjectvariance changesen
dc.subjectthreshold functionen
dc.subjectonline detectionen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleMonitoring multivariate variance changesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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