Matches in SemOpenAlex for { <https://semopenalex.org/work/W2267118429> ?p ?o ?g. }
- W2267118429 abstract "We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding instabilities or disruptions in financial risk. We discuss in detail the theoretical underpinnings of applying historical and sequential CUSUM change-point tests to monitor the stability of dynamic variance processes. Data-driven volatility monitoring schemes are investigated that satisfy the FCLT and provide various advantages for sequential analysis. We examine various issues that emerge when using such processes. One such issue is the sampling frequency since the processes can be sampled at alternative frequencies. We study the power of detection as sampling frequencies vary. Analytical relative local power results are obtained for the CUSUM test for monitoring volatility processes at low versus high sampling frequencies. The analytical results provide evidence of some nontrivial trade-offs between relative local power and the role of sampling frequency, persistence and tails of the volatility process. A comprehensive simulation analysis unfolds the finite sample properties of the CUSUM volatility change-point test and provides additional support to the analytical asymptotic results on relative local power." @default.
- W2267118429 created "2016-06-24" @default.
- W2267118429 creator A5018668272 @default.
- W2267118429 creator A5068715764 @default.
- W2267118429 date "2005-01-01" @default.
- W2267118429 modified "2023-09-30" @default.
- W2267118429 title "Monitoring for Disruptions in Financial Markets" @default.
- W2267118429 cites W1545370368 @default.
- W2267118429 cites W1580561995 @default.
- W2267118429 cites W1606041968 @default.
- W2267118429 cites W1969604147 @default.
- W2267118429 cites W1971139264 @default.
- W2267118429 cites W1971790567 @default.
- W2267118429 cites W1995805330 @default.
- W2267118429 cites W1999996900 @default.
- W2267118429 cites W2001706415 @default.
- W2267118429 cites W2012071978 @default.
- W2267118429 cites W2016713852 @default.
- W2267118429 cites W2022287728 @default.
- W2267118429 cites W2025051992 @default.
- W2267118429 cites W2031855349 @default.
- W2267118429 cites W2051564300 @default.
- W2267118429 cites W2053768275 @default.
- W2267118429 cites W2053933740 @default.
- W2267118429 cites W2054599015 @default.
- W2267118429 cites W2054914474 @default.
- W2267118429 cites W2067385432 @default.
- W2267118429 cites W2086073836 @default.
- W2267118429 cites W2095649426 @default.
- W2267118429 cites W2109594009 @default.
- W2267118429 cites W2109764135 @default.
- W2267118429 cites W2110769522 @default.
- W2267118429 cites W2112559425 @default.
- W2267118429 cites W2117460584 @default.
- W2267118429 cites W2123807460 @default.
- W2267118429 cites W2140585983 @default.
- W2267118429 cites W2160885260 @default.
- W2267118429 cites W2169319284 @default.
- W2267118429 cites W2263098707 @default.
- W2267118429 cites W2502254989 @default.
- W2267118429 cites W2518887247 @default.
- W2267118429 cites W3121451334 @default.
- W2267118429 cites W3124263521 @default.
- W2267118429 cites W3124831209 @default.
- W2267118429 cites W3125663417 @default.
- W2267118429 doi "https://doi.org/10.2139/ssrn.682861" @default.
- W2267118429 hasPublicationYear "2005" @default.
- W2267118429 type Work @default.
- W2267118429 sameAs 2267118429 @default.
- W2267118429 citedByCount "4" @default.
- W2267118429 countsByYear W22671184292013 @default.
- W2267118429 countsByYear W22671184292014 @default.
- W2267118429 countsByYear W22671184292015 @default.
- W2267118429 crossrefType "journal-article" @default.
- W2267118429 hasAuthorship W2267118429A5018668272 @default.
- W2267118429 hasAuthorship W2267118429A5068715764 @default.
- W2267118429 hasBestOaLocation W22671184292 @default.
- W2267118429 hasConcept C105795698 @default.
- W2267118429 hasConcept C106131492 @default.
- W2267118429 hasConcept C140779682 @default.
- W2267118429 hasConcept C149782125 @default.
- W2267118429 hasConcept C162324750 @default.
- W2267118429 hasConcept C178518018 @default.
- W2267118429 hasConcept C31972630 @default.
- W2267118429 hasConcept C33923547 @default.
- W2267118429 hasConcept C41008148 @default.
- W2267118429 hasConcept C60092789 @default.
- W2267118429 hasConcept C85393063 @default.
- W2267118429 hasConcept C88871306 @default.
- W2267118429 hasConcept C91602232 @default.
- W2267118429 hasConceptScore W2267118429C105795698 @default.
- W2267118429 hasConceptScore W2267118429C106131492 @default.
- W2267118429 hasConceptScore W2267118429C140779682 @default.
- W2267118429 hasConceptScore W2267118429C149782125 @default.
- W2267118429 hasConceptScore W2267118429C162324750 @default.
- W2267118429 hasConceptScore W2267118429C178518018 @default.
- W2267118429 hasConceptScore W2267118429C31972630 @default.
- W2267118429 hasConceptScore W2267118429C33923547 @default.
- W2267118429 hasConceptScore W2267118429C41008148 @default.
- W2267118429 hasConceptScore W2267118429C60092789 @default.
- W2267118429 hasConceptScore W2267118429C85393063 @default.
- W2267118429 hasConceptScore W2267118429C88871306 @default.
- W2267118429 hasConceptScore W2267118429C91602232 @default.
- W2267118429 hasLocation W22671184291 @default.
- W2267118429 hasLocation W22671184292 @default.
- W2267118429 hasOpenAccess W2267118429 @default.
- W2267118429 hasPrimaryLocation W22671184291 @default.
- W2267118429 hasRelatedWork W1536860160 @default.
- W2267118429 hasRelatedWork W1563412886 @default.
- W2267118429 hasRelatedWork W1606226740 @default.
- W2267118429 hasRelatedWork W2014317391 @default.
- W2267118429 hasRelatedWork W2321281571 @default.
- W2267118429 hasRelatedWork W2340433879 @default.
- W2267118429 hasRelatedWork W2349219432 @default.
- W2267118429 hasRelatedWork W2367998217 @default.
- W2267118429 hasRelatedWork W2385056926 @default.
- W2267118429 hasRelatedWork W2768266494 @default.
- W2267118429 isParatext "false" @default.
- W2267118429 isRetracted "false" @default.
- W2267118429 magId "2267118429" @default.