Pape, KatharinaWied, DominikGaleano, Pedro2015-08-042015-08-042015http://hdl.handle.net/2003/3418310.17877/DE290R-7814We 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.enDiscussion Paper / SFB 823;29/2015multivariate sequencesvariance changesthreshold functiononline detection310330620working paper