Some practical aspects of sequential change point detection
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Date
2021
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Abstract
In this report we investigate the finite sample properties of a new online monitoring
scheme which was recently introduced by Gösmann et al. (2020) by means of a simulation
study and a real data example. We also develop an algorithm which can be used in an
active risk management.
We start with an introduction in the basic notation and an explanation of the monitoring
procedure, continue with an extensive simulation study to provide recommendations
for the choice of several tuning parameters. Finally we present some illustration analyzing
the Standard & Poor’s 500, MSCI World and MSCI Emerging Markets indices.