Loss function-based change point detection in risk measures
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Recommendations
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Cites work
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- A conditional-SGT-VaR approach with alternative GARCH models
- A joint quantile and expected shortfall regression framework
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Automatic Block-Length Selection for the Dependent Bootstrap
- Autoregressive Conditional Density Estimation
- Bayesian value-at-risk backtesting: the case of annuity pricing
- Block bootstrap consistency under weak assumptions
- Bootstrapping confidence intervals for the change-point of time series
- Break detection in the covariance structure of multivariate time series models
- Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
- Changepoint Detection in the Presence of Outliers
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Detecting for smooth structural changes in GARCH models
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Elicitability and backtesting: perspectives for banking regulation
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of the maximal moment exponent of a GARCH(1,1) sequence
- Full predictivistic modeling of stock market data: application to change point problems
- Higher order elicitability and Osband's principle
- Improved inference on the rank of a matrix
- Invariance principles for changepoint problems
- Limit theorems for functionals of mixing processes with applications to U-statistics and dimension estimation
- Long memory and regime switching
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Monitoring for a change point in a sequence of distributions
- Non-parametric change-point tests for long-range dependent data
- Power of change-point tests for long-range dependent data
- Risk-parameter estimation in volatility models
- Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Selection of estimation window in the presence of breaks
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Some statistical aspects of methods for detection of turning points in business cycles
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Structural breaks in time series
- Testing for change points in time series
- Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
- Testing for changes in (extreme) VaR
- Testing for structural change in regression quantiles
- The Stationary Bootstrap
- The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
- Unsupervised self-normalized change-point testing for time series
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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