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Change-Point Testing for Risk Measures in Time Series

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  • Lin Fan
  • Peter W. Glynn
  • Markus Pelger

Abstract

We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal distributions of time series under general assumptions. Self-normalization allows us to avoid the issues of standard error estimation. The theoretical foundations for our methods are functional central limit theorems, which we develop under weak assumptions. An empirical study of S&P 500 and US Treasury bond returns illustrates the practical use of our methods in detecting and quantifying market instability via the tails of financial time series.

Suggested Citation

  • Lin Fan & Peter W. Glynn & Markus Pelger, 2018. "Change-Point Testing for Risk Measures in Time Series," Papers 1809.02303, arXiv.org, revised Jul 2023.
  • Handle: RePEc:arx:papers:1809.02303
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    References listed on IDEAS

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    1. Moosup Kim & Sangyeol Lee, 2011. "Change point test for tail index for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(3), pages 297-311, November.
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    5. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    6. Song Xi Chen, 2008. "Nonparametric Estimation of Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 87-107, Winter.
    7. Bucher, Axel, 2015. "A Note on Weak Convergence of the Sequential Multivariate Empirical Process Under Strong Mixing," LIDAM Reprints ISBA 2015042, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    Cited by:

    1. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.

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