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Monitoring multivariate variance changes

Katharina Pape, Dominik Wied and Pedro Galeano

Journal of Empirical Finance, 2016, vol. 39, issue PA, 54-68

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.

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)
Date: 2016
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Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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Handle: RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68