Lin Fan, Junting Duan, Peter W. Glynn, Markus Pelger
arXiv 7 Sep 2018 · Econometrics · 1 citations (OpenAlex)
arXiv:1809.02303 · PDF · DOI · OpenAlex · Extracted main text
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 instability in the tails of financial time series.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | T. Zhang and L. Lavitas (2018) Unsupervised self-normalized change-point testing for time series | 0.874 | 8 | 2 | 100% |
| 2 | X. Shao and X. Zhang (2010) Testing for change points in time series | 0.874 | 6 | 2 | 100% |
| 3 | S.X. Chen (2008) Nonparametric estimation of expected shortfall | 0.843 | 3 | 3 | 100% |
| 4 | S.X. Chen and C.Y. Tang (2005) Nonparametric inference of value-at-risk for dependent financial returns | 0.843 | 3 | 3 | 100% |
| 5 | S. Asmussen and P.W. Glynn (2007) Stochastic Simulation: Algorithms and Analysis | 0.737 | 3 | 2 | 100% |
| 6 | I.N. Lobato (2001) Testing that a dependent process is uncorrelated | 0.737 | 3 | 2 | 100% |
| 7 | X. Shao (2010) A self-normalized approach to confidence interval construction in time series | 0.737 | 3 | 2 | 100% |
| 8 | M. Csorgo and L. Horvath (1997) Limit Theorems in Change-Point Analysis | 0.644 | 2 | 2 | 100% |
| 9 | P.W. Glynn and D.L. Iglehart (1990) Simulation output analysis using standardized time series self | 0.644 | 2 | 2 | 100% |
| 10 | J.E. Methni, L. Gardes, and S. Girard (2014) Non‐parametric estimation of extreme risk measures from conditional heavy‐tailed distributions | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 46 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Quantile Time Series Regression Models Revisited | 0.405 | 1 | 1 |