Title: Monitoring multivariate variance changes
Authors: Dominik Wied - University of Cologne (Germany) [presenting]
Katharina Pape - TU Dortmund (Germany)
Pedro Galeano - Universidad Carlos III de Madrid (Spain)
Abstract: A model-independent multivariate sequential procedure is proposed to monitor changes in the vector of componentwise unconditional variances in a sequence of $p-$variate random vectors. The asymptotic behavior of the detector is derived and consistency of the procedure stated. A detailed simulation study illustrates the performance of the procedure confronted with different types of data generating processes. We conclude with an application to the log returns of a group of DAX listed assets.