Related papers: Testing and Estimating Structural Breaks in Time S…
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Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type…
This paper introduces a framework to analyze time-varying spillover effects in panel data. We consider panel models where a unit's outcome depends not only on its own characteristics (private effects) but also on the characteristics of…
Correlations among stock returns during volatile markets differ substantially compared to those from quieter markets. During times of financial crisis, it has been observed that traditional dependency in global markets breaks down. However,…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
Models for financial risk often assume that underlying asset returns are stationary. However, there is strong evidence that multivariate financial time series entail changes not only in their within-series dependence structure, but also in…
Structural crack detection is a critical task for public safety as it helps in preventing potential structural failures that could endanger lives. Manual detection by inexperienced personnel can be slow, inconsistent, and prone to human…
As COVID-19 is rapidly spreading across the globe, short-term modeling forecasts provide time-critical information for decisions on containment and mitigation strategies. A main challenge for short-term forecasts is the assessment of key…
The design of reliable indicators to anticipate critical transitions in complex systems is an im portant task in order to detect a coming sudden regime shift and to take action in order to either prevent it or mitigate its consequences. We…
Throughout the course of an epidemic, the rate at which disease spreads varies with behavioral changes, the emergence of new disease variants, and the introduction of mitigation policies. Estimating such changes in transmission rates can…
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…
The coronavirus is a global event of historical proportions and just a few months changed the time series properties of the data in ways that make many pre-covid forecasting models inadequate. It also creates a new problem for estimation of…
The COVID-19 pandemic so far has caused huge negative impacts on different areas all over the world, and the United States (US) is one of the most affected countries. In this paper, we use methods from the functional data analysis to look…
We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…
COVID-19 has impacted the economy of almost every country in the world. Of particular interest are the responses of the economic indicators of developing nations (such as BRICS) to the COVID-19 shock. As an extension to our earlier work on…
The paper algorithmizes the problem of regime change point identification for data measured in a system exhibiting impulsive behaviors. This is a fundamental challenge for annotation of measurement data relevant, e.g., for designing…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…
This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test…
In this paper, we develop an online change-point detection procedure in the covariance structure of high-dimensional data. A new stopping rule is proposed to terminate the process as early as possible when a change in covariance structure…