Browsing by Subject "Sequential tests"

Now showing items 1-2 of 2

    • Article  

      Monitoring disruptions in financial markets 

      Andreou, Elena; Ghysels, Eric (2006)
      We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...
    • Article  

      Quality control for structural credit risk models 

      Andreou, Elena; Ghysels, Eric (2008)
      Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...