Tests for Breaks in the Conditional Co-movements of Asset Returns
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- Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
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- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
- Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020.
"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
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- Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
- Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Change-point tests; multivariate GARCH models; conditional covariance; high-frequency financial data; Changement structurel; ARCH; corrélations conditionnelles; données de haute fréquence;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-06-24 (Econometrics)
- NEP-ETS-2002-06-24 (Econometric Time Series)
- NEP-FIN-2002-06-24 (Finance)
- NEP-FMK-2002-06-24 (Financial Markets)
- NEP-IFN-2002-06-24 (International Finance)
Statistics
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