Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
Bibliographic record
Abstract
We propose semi-parametric CUSUM tests to detect a change point in the correlation structures of non–linear multivariate models with dynamically evolving volatilities. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the applicability of our method to the most often used models, including constant conditional correlation (CCC), dynamic conditional correlation (DCC), BEKK, corrected DCC and factor models. Our simulations show that, our tests have good size and power properties. Also, even though the near–unit root property distorts the size and power of tests, de–volatizing the data by means of appropriate multivariate volatility models can correct such distortions. We apply the semi–parametric CUSUM tests in the attempt to date the occurrence of financial contagion from the U.S. to emerging markets worldwide during the great recession.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.018 |
| Meta-epidemiology (narrow) | 0.002 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.002 |
| Bibliometrics | 0.005 | 0.005 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.004 | 0.002 |
| Research integrity | 0.002 | 0.002 |
| Insufficient payload (model declined to judge) | 0.008 | 0.007 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".