Monitoring multivariate time series

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Computing, Economics, Econometrics +15

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

Social Sciences, Economics, Econometrics +15

Empirical properties of asset returns: stylized facts and statistical issues

Rama Cont · Quantitative Finance · 2001 · 3.2K citations

Business, Economics, Finance +16

Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Carla Inclán, George C. Tiao · Journal of the American Statistical Association · 1994 · 1.2K citations

Natural Sciences, Biostatistics, Epidemiologic Methods +10

Nonlinear system theory: Another look at dependence

Wei Biao Wu · Proceedings of the National Academy of Sciences · 2005 · 596 citations · Full text

Natural Sciences, Mathematics, Dynamical Systems +14