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Author

Zhijie Xiao

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Preprint Aug 2026

Robust Nonparametric Testing for Structural Changes in Multivariate Volatility via Multiple Quantiles

We propose an omnibus nonparametric test for structural changes in the multivariate volatility matrix. The test aggregates bounded generalized quantile scores over a range of quantile levels and has a weighted leave-$q$-out $U$-statistic representation. Deleting nearby index pairs renders the centering effect induced b...

Ji-Lin Wu, Ruike Wu, Zhi-Jie Xiao et al. · 0 citations

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