CORDIS Project
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This research develops new methods for analyzing structural changes in financial time series, addressing issues in risk management estimates. It aims to enhance the accuracy of financial models and provide tools for monitoring changes in market dynamics.
The research project has two broad objectives and provides novel results in the literature of structural change or change-point tests.
The first objective is to provide two new methods for restoring the non-monotone power problem of a large family of structural breaks tests that have been widely used in econometrics and statistics, as well as to show that these methods have additional contributions and can be extended to: (i) tests for a change in persistence, (ii) partial sums tests of cointegr…
UNIVERSITY OF CYPRUS
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