Loss function-based change point detection in risk measures (Q6113344): Difference between revisions

@@ Property / DOI @@
-.1016/j.ejor.2023.03.033
@@ Property / DOI: 10.1016/j.ejor.2023.03.033 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2023.03.033
+Normal rank
@@ Property / OpenAlex ID @@
+W4361287210
@@ Property / OpenAlex ID: W4361287210 / rank @@
+Normal rank
@@ Property / cites work @@
+Some statistical aspects of methods for detection of turning points in business cycles
+Normal rank
@@ Property / cites work @@
+Break detection in the covariance structure of multivariate time series models
+Normal rank
@@ Property / cites work @@
+Structural breaks in time series
@@ Property / cites work: Structural breaks in time series / rank @@
+Normal rank
@@ Property / cites work @@
+A conditional-SGT-VaR approach with alternative GARCH models
+Normal rank
@@ Property / cites work @@
+SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
+Normal rank
@@ Property / cites work @@
+ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
+Normal rank
@@ Property / cites work @@
+Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test
+Normal rank
@@ Property / cites work @@
+Dynamic large financial networks \textit{via} conditional expected shortfalls
+Normal rank
@@ Property / cites work @@
+Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation
+Normal rank
@@ Property / cites work @@
+BLOCK BOOTSTRAP CONSISTENCY UNDER WEAK ASSUMPTIONS
+Normal rank
@@ Property / cites work @@
+DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Improved inference on the rank of a matrix
@@ Property / cites work: Improved inference on the rank of a matrix / rank @@
+Normal rank
@@ Property / cites work @@
+Invariance principles for changepoint problems
@@ Property / cites work: Invariance principles for changepoint problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4348180
@@ Property / cites work: Q4348180 / rank @@
+Normal rank
@@ Property / cites work @@
+THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC  INTEGRALS II
+Normal rank
@@ Property / cites work @@
+Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
+Normal rank
@@ Property / cites work @@
+Power of change-point tests for long-range dependent data
+Normal rank
@@ Property / cites work @@
+Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
+Normal rank
@@ Property / cites work @@
+A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
+Normal rank
@@ Property / cites work @@
+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+A joint quantile and expected shortfall regression framework
+Normal rank
@@ Property / cites work @@
+Changepoint Detection in the Presence of Outliers
@@ Property / cites work: Changepoint Detection in the Presence of Outliers / rank @@
+Normal rank
@@ Property / cites work @@
+Higher order elicitability and Osband's principle
@@ Property / cites work: Higher order elicitability and Osband's principle / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-parameter estimation in volatility models
@@ Property / cites work: Risk-parameter estimation in volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for changes in (extreme) VaR
@@ Property / cites work: Testing for changes in (extreme) VaR / rank @@
+Normal rank
@@ Property / cites work @@
+Monitoring for a change point in a sequence of distributions
+Normal rank
@@ Property / cites work @@
+SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
+Normal rank
@@ Property / cites work @@
+Sequential monitoring for changes from stationarity to mild non-stationarity
+Normal rank
@@ Property / cites work @@
+Bootstrapping confidence intervals for the change-point of time series
+Normal rank
@@ Property / cites work @@
+Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
+Normal rank
@@ Property / cites work @@
+Bayesian value-at-risk backtesting: the case of annuity pricing
+Normal rank
@@ Property / cites work @@
+Full predictivistic modeling of stock market data: application to change point problems
+Normal rank
@@ Property / cites work @@
+Estimating value-at-risk and expected shortfall using the intraday low and range data
+Normal rank
@@ Property / cites work @@
+Elicitability and backtesting: perspectives for banking regulation
+Normal rank
@@ Property / cites work @@
+Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
+Normal rank
@@ Property / cites work @@
+Dynamic semiparametric models for expected shortfall (and value-at-risk)
+Normal rank
@@ Property / cites work @@
+Selection of estimation window in the presence of breaks
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Testing for structural change in regression quantiles
+Normal rank
@@ Property / cites work @@
+Testing for Change Points in Time Series
@@ Property / cites work: Testing for Change Points in Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
+Normal rank
@@ Property / cites work @@
+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
+Normal rank
@@ Property / cites work @@
+Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
+Normal rank
@@ Property / cites work @@
+Unsupervised Self-Normalized Change-Point Testing for Time Series
+Normal rank
@@ Property / DOI @@
+.1016/J.EJOR.2023.03.033
@@ Property / DOI: 10.1016/J.EJOR.2023.03.033 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6113344