Some practical aspects of sequential change point detection

dc.contributor.author	Sivanesan, Sivanja
dc.contributor.author	Dette, Holger
dc.contributor.author	Ziggel, Daniel
dc.date.accessioned	2021-08-16T13:39:02Z
dc.date.available	2021-08-16T13:39:02Z
dc.date.issued	2021
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/40472
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-22347
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;18/2021
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.subject.rswk	Risk Management	de
dc.title	Some practical aspects of sequential change point detection	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.secondarypublication	false	de

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