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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| Main Authors: | , |
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| Format: | article |
| Language: | EN |
| Published: |
KeAi Communications Co., Ltd.
2021
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| Subjects: | |
| Online Access: | https://doaj.org/article/3e4171cdc47246158df735e2bb78d00d |
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