Monitoring multivariate variance changes

dc.contributor.author	Pape, Katharina
dc.contributor.author	Wied, Dominik
dc.contributor.author	Galeano, Pedro
dc.date.accessioned	2015-08-04T10:43:46Z
dc.date.available	2015-08-04T10:43:46Z
dc.date.issued	2015
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34183
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-7814
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;29/2015	en
dc.subject	multivariate sequences	en
dc.subject	variance changes	en
dc.subject	threshold function	en
dc.subject	online detection	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Monitoring multivariate variance changes	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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