Carsoule, F.

variance change monitoring procedure parameter procedure monitoring process exchange figure result model table method value power volatility sample section observation european exchange rates monitoring time-varying parameters function autoregression hypothesis statistic sequence ar parameters exchange rates panel exchange rate volatility evidence 0.05 wiener process sample power european 99.9 simulation outlier 0.10 ar parameters change shift franc kroner log f jft reduction 1=2 score process delay example innovation variance iid sequence increase series graph time t signi cant increase monte carlo simulations autoregressive q 4 m cusum decrease production paper signi time-varying franse order country behavior approach innovation score carsoule square theorem wiener stability approximation sequential testing approach exchange rate returns