4 papers
Sequential monitoring for distributional changepoints using degenerate U-statistics
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We investigate the online detection of changepoints in the distribution of a sequence of observations using a class of degenerate \textit{U}-statistic-type processes. We consider a…
A general randomized test for Alpha
Daniele Massacci, Lucio Sarno, Lorenzo Trapani +1
We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing m…
Moving sum procedure for multiple change point detection in large factor models
Matteo Barigozzi, Haeran Cho, Lorenzo Trapani
This paper proposes a moving sum methodology for detecting multiple change points in high-dimensional time series under a factor model, where changes are attributed to those in loa…
Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Rong Chen, Simone Giannerini, Greta Goracci +1
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present.…