72 citations · 304 across the 42 of their papers we have counts for
3 papers · 1 filter
Quantile Correlations: Uncovering temporal dependencies in financial time series
Thilo A. Schmitt, Rudi Schäfer, Holger Dette +1
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P…
Change point analysis of second order characteristics in non-stationary time series
Holger Dette, Weichi Wu, Zhou Zhou
An important assumption in the work on testing for structural breaks in time series consists in the fact that the model is formulated such that the stochastic process under the nul…
Optimal designs in regression with correlated errors
Holger Dette, Andrey Pepelyshev, Anatoly Zhigljavsky
This paper discusses the problem of determining optimal designs for regression models, when the observations are dependent and taken on an interval. A complete solution of this cha…