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Found 4 papers, 0 papers with code
Sequential monitoring for explosive volatility regimes
We consider two types of weights: a lighter set of weights, which ensures timely detection in the presence of changes occurring early, but not too early after the end of the historical sample; and a heavier set of weights, called Renyi weights which is designed to ensure timely detection in the presence of changepoints occurring very early in the monitoring horizon.
Fast Online Changepoint Detection
We study online changepoint detection in the context of a linear regression model.
Inference in heavy-tailed non-stationary multivariate time series
We propose a novel methodology which does not require any knowledge or estimation of the tail index, or even knowledge as to whether certain moments (such as the variance) exist or not, and develop an estimator of the number of stochastic trends $m$ based on the eigenvalues of the sample second moment matrix of $y_{t}$.
Bayesian estimation of large dimensional time varying VARs using copulas
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure.
