This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …

This paper reviews the literature on structural breaks in financial time series. The second
section discusses the implications of structural breaks in financial time series for statistical …

This article considers the CUSUM-based (cumulative sum) test for a change point in a time
series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test …

Most studies in the structural change literature focus solely on the conditional mean, while
under various circumstances, structural change in the conditional distribution or in …

We suggest a sequential monitoring scheme to detect changes in the parameters of a
GARCH (p, q) sequence. The procedure is based on quasi-likelihood scores and does not …

We propose a new test against a change in correlation at an unknown point in time based
on cumulated sums of empirical correlations. The test does not require that inputs are …

We propose a new framework for evaluating predictive densities in an environment where
the estimation error of the parameters used to construct the densities is preserved …

We construct two classes of smoothed empirical likelihood ratio tests for the conditional
independence hypothesis by writing the null hypothesis as an infinite collection of …

A dependent multiplier bootstrap for the sequential empirical copula process under strong
mixing Page 1 Bernoulli 22(2), 2016, 927–968 DOI: 10.3150/14-BEJ682 A dependent multiplier …

In this paper, we show the first order validity of the block bootstrap for Kolmogorov-type
conditional distribution tests under dynamic misspecification and parameter estimation error …