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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorGhysels, Ericen
dc.creatorAndreou, Elenaen
dc.creatorGhysels, Ericen
dc.date.accessioned2019-05-03T05:21:46Z
dc.date.available2019-05-03T05:21:46Z
dc.date.issued2006
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47082
dc.description.abstractWe 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 instabilities or disruptions in financial risk. We discuss in detail the theoretical underpinnings of applying historical and sequential CUSUM change-point tests to monitor the stability of dynamic variance processes. Data-driven volatility monitoring schemes are investigated that satisfy the FCLT and provide various advantages for sequential analysis. We examine various issues that emerge when using such processes. One such issue is the sampling frequency since the processes can be sampled at alternative frequencies. We study the power of detection as sampling frequencies vary. Analytical relative local power results are obtained for the CUSUM test for monitoring volatility processes at low versus high sampling frequencies. The analytical results provide evidence of some nontrivial trade-offs between relative local power and the role of sampling frequency, persistence and tails of the volatility process. A comprehensive simulation analysis unfolds the finite sample properties of the CUSUM volatility change-point test and provides additional support to the analytical asymptotic results on relative local power. © 2005 Elsevier B.V. All rights reserved.en
dc.language.isoengen
dc.sourceJournal of Econometricsen
dc.subjectSequential testsen
dc.subjectStructural changeen
dc.subjectBoundary crossingen
dc.subjectBrownian bridgeen
dc.subjectComputer simulationen
dc.subjectCUSUMen
dc.subjectFinancial data processingen
dc.subjectGARCHen
dc.subjectHigh-frequency dataen
dc.subjectInformation analysisen
dc.subjectLocal poweren
dc.subjectMarketingen
dc.subjectNonlinear programmingen
dc.subjectPower variationen
dc.subjectQuadratic variationen
dc.subjectReal time systemsen
dc.subjectRisk managementen
dc.subjectSamplingen
dc.titleMonitoring disruptions in financial marketsen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1016/j.jeconom.2005.07.023
dc.description.volume135
dc.description.startingpage77
dc.description.endingpage124
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.description.totalnumpages77-124


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