High-dimensional GARCH process segmentation with an application to Value-at-Risk (2022)
Attributed to:
Change-point detection for high-dimensional time series with nonstationarities
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.ecosta.2021.07.009
Publication URI: http://dx.doi.org/10.1016/j.ecosta.2021.07.009
Type: Journal Article/Review
Parent Publication: Econometrics and Statistics