A MOSUM procedure for the estimation of multiple random change points

B Eichinger, C Kirch - 2018 - projecteuclid.org
A MOSUM procedure for the estimation of multiple random change points Page 1 Bernoulli
24(1), 2018, 526–564 DOI: 10.3150/16-BEJ887 A MOSUM procedure for the estimation of …

An introduction to univariate GARCH models

T Teräsvirta - Handbook of financial time series, 2009 - Springer
This paper contains a survey of univariate models of conditional heteroskedasticity. The
classical ARCH model is mentioned, and various extensions of the standard Generalized …

Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break

DA Bala, JO Asemota - CBN journal of applied statistics, 2013 - econstor.eu
This paper examines exchange-rate volatility with GARCH models using monthly exchange-
rate return series from 1985: 1 to 2011: 7 for Naira/US dollar return and from 2004: 1 to …

Clustering financial time series: New insights from an extended hidden Markov model

JG Dias, JK Vermunt, S Ramos - European Journal of Operational …, 2015 - Elsevier
In recent years, large amounts of financial data have become available for analysis. We
propose exploring returns from 21 European stock markets by model-based clustering of …

Evolutionary model building under streaming data for classification tasks: opportunities and challenges

MI Heywood - Genetic Programming and Evolvable Machines, 2015 - Springer
Streaming data analysis potentially represents a significant shift in emphasis from schemes
historically pursued for offline (batch) approaches to the classification task. In particular, a …

Risk-return tradeoff in US stock returns over the business cycle

H Nyberg - Journal of Financial and Quantitative Analysis, 2012 - cambridge.org
In the empirical finance literature, findings on the risk-return tradeoff in excess stock market
returns are ambiguous. In this study, I develop a new qualitative response (QR)-generalized …

Cointegration: Overview and development

S Johansen - Handbook of financial time series, 2009 - Springer
This article presents a survey of the analysis of cointegration using the vector autoregressive
model. After a few illustrative economic examples, the three model based approaches to the …

Clustering market regimes using the wasserstein distance

B Horvath, Z Issa, A Muguruza - arXiv preprint arXiv:2110.11848, 2021 - arxiv.org
The problem of rapid and automated detection of distinct market regimes is a topic of great
interest to financial mathematicians and practitioners alike. In this paper, we outline an …

Detection of intensity bursts using Hawkes processes: An application to high-frequency financial data

M Rambaldi, V Filimonov, F Lillo - Physical Review E, 2018 - APS
Given a stationary point process, an intensity burst is defined as a short time period during
which the number of counts is larger than the typical count rate. It might signal a local …

Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

JF Collamore - 2009 - projecteuclid.org
We develop sharp large deviation asymptotics for the probability of ruin in a Markov-
dependent stochastic economic environment and study the extremes for some related …