Monitoring multivariate variance changes
Dominik Wied and
Journal of Empirical Finance, 2016, vol. 39, issue PA, pages 54-68
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.
Keywords: Multivariate sequences; Online detection; Threshold function; Variance changes (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68
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