Browsing by Subject "CUSUM"

Now showing items 1-2 of 2

    • Article  

      The impact of sampling frequency and volatility estimators on change-point tests 

      Andreou, Elena; Ghysels, Eric (2004)
      The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes ...
    • 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 ...