Detection of multiple change-points in multivariate time series

[1]  Piotr Kokoszka,et al.  SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS , 2004, Econometric Theory.

[2]  M. Lavielle Detection of multiple changes in a sequence of dependent variables , 1999 .

[3]  B. Brodsky,et al.  Nonparametric Methods in Change Point Problems , 1993 .

[4]  Thomas Mikosch,et al.  Long range dependence effects and ARCH modeling , 2003 .

[5]  T. Bollerslev,et al.  Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .

[6]  Richard L. Hudson,et al.  The Misbehavior of Markets: A Fractal View of Risk, Ruin, and Reward , 2004 .

[7]  P. Doukhan,et al.  A Larch Vector Valued Process , 2006 .

[8]  Michèle Basseville,et al.  Detection of Abrupt Changes: Theory and Applications. , 1995 .

[9]  Jie Chen,et al.  Statistical inference of covariance change points in gaussian model , 2004 .

[10]  Yi-Ching Yao Estimating the number of change-points via Schwarz' criterion , 1988 .

[11]  M. Taqqu,et al.  Dependence in Probability and Statistics , 1986 .

[12]  M. Lavielle,et al.  Adaptive Detection of Multiple Change-Points in Asset Price Volatility , 2007 .

[13]  Baiqi Miao,et al.  Detection of change points using rank methods , 1988 .

[14]  Liudas Giraitis,et al.  Testing and estimating in the change-point problem of the spectral function , 1992 .

[15]  D. Hawkins Fitting multiple change-point models to data , 2001 .

[16]  R. Dahlhaus Fitting time series models to nonstationary processes , 1997 .

[17]  M. Lavielle,et al.  Random thresholds for linear model selection , 2008 .

[18]  L. Horváth,et al.  Limit Theorems in Change-Point Analysis , 1997 .

[19]  R. Leipus,et al.  Testing for parameter changes in ARCH models , 1999 .

[20]  Chia-Shang James Chu,et al.  Detecting parameter shift in garch models , 1995 .

[21]  R. Leipus,et al.  Functional CLT for nonparametric estimates of the spectrum and change-point problem for a spectral function , 1990 .

[22]  M. Srivastava,et al.  On Tests for Detecting Change in Mean , 1975 .

[23]  Clive W. J. Granger,et al.  Occasional Structural Breaks and Long Memory , 1999 .

[24]  F. Boussama Ergodicité, mélange et estimation dans les modèles GARCH , 1998 .

[25]  Gilles Teyssière Interaction models for common long-range dependence in asset price volatilities , 2003 .

[26]  Change-point detection in GARCH models: asymptotic and bootstrap tests , 2002 .

[27]  Patrice Abry,et al.  Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series , 2007 .

[28]  D. Hawkins Testing a Sequence of Observations for a Shift in Location , 1977 .

[29]  R. Leipus,et al.  The change-point problem for dependent observations , 1996 .

[30]  P. Massart,et al.  Gaussian model selection , 2001 .

[31]  H. Müller,et al.  Multiple changepoint fitting via quasilikelihood, with application to DNA sequence segmentation , 2000 .

[32]  Arjun K. Gupta,et al.  Parametric Statistical Change Point Analysis , 2000 .

[33]  S. Kay Fundamentals of statistical signal processing: estimation theory , 1993 .

[34]  É. Moulines,et al.  Least‐squares Estimation of an Unknown Number of Shifts in a Time Series , 2000 .

[35]  Piotr Kokoszka,et al.  Change-point estimation in ARCH models , 2000 .

[36]  D. Wolfe,et al.  Multiple changepoints problem-nonparmetric procedures for estimation of the points of change , 1985 .

[37]  Liudas Giraitis,et al.  Recent Advances in ARCH Modelling , 2007 .

[38]  Gilles Teyssière Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes , 1999 .

[39]  Empirical Process of the Squared Residuals of an ARCH Sequence , 2001 .

[40]  Michèle Basseville,et al.  Detection of abrupt changes: theory and application , 1993 .