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High-dimensional GARCH process segmentation with an application to Value-at-Risk (2022)

First Author: Cho H

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