Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
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Cites work
- A joint quantile and expected shortfall regression framework
- Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
- Dependent functional linear models with applications to monitoring structural change
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Estimating and Testing Linear Models with Multiple Structural Changes
- Evaluating interval forecasts
- Forecasting Time Series Subject to Multiple Structural Breaks
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Higher order elicitability and Osband's principle
- Loss function-based change point detection in risk measures
- Monitoring for a change point in a sequence of distributions
- Monitoring Structural Change
- On sequential detection of parameter changes in linear regression
- Optimal forecasts in the presence of structural breaks
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Sequential monitoring of the tail behavior of dependent data
- Structural breaks in time series
- Testing for changes in (extreme) VaR
- Testing for structural change in regression quantiles
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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