Change-point detection for expected shortfall in time series
Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild B...
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KeAi Communications Co., Ltd.
2021
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oai:doaj.org-article:3e4171cdc47246158df735e2bb78d00d2021-11-10T04:24:33ZChange-point detection for expected shortfall in time series2096-232010.1016/j.jmse.2021.06.002https://doaj.org/article/3e4171cdc47246158df735e2bb78d00d2021-09-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2096232021000391https://doaj.org/toc/2096-2320Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure.Lingyu SunDong LiKeAi Communications Co., Ltd.articleC12C22C32Industrial engineering. Management engineeringT55.4-60.8ENJournal of Management Science and Engineering, Vol 6, Iss 3, Pp 324-335 (2021) |
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C12 C22 C32 Industrial engineering. Management engineering T55.4-60.8 |
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C12 C22 C32 Industrial engineering. Management engineering T55.4-60.8 Lingyu Sun Dong Li Change-point detection for expected shortfall in time series |
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Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure. |
format |
article |
author |
Lingyu Sun Dong Li |
author_facet |
Lingyu Sun Dong Li |
author_sort |
Lingyu Sun |
title |
Change-point detection for expected shortfall in time series |
title_short |
Change-point detection for expected shortfall in time series |
title_full |
Change-point detection for expected shortfall in time series |
title_fullStr |
Change-point detection for expected shortfall in time series |
title_full_unstemmed |
Change-point detection for expected shortfall in time series |
title_sort |
change-point detection for expected shortfall in time series |
publisher |
KeAi Communications Co., Ltd. |
publishDate |
2021 |
url |
https://doaj.org/article/3e4171cdc47246158df735e2bb78d00d |
work_keys_str_mv |
AT lingyusun changepointdetectionforexpectedshortfallintimeseries AT dongli changepointdetectionforexpectedshortfallintimeseries |
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1718440641232371712 |