Test for conditional quantile change in general conditional heteroscedastic time series models

Sangyeol Lee () and Chang Kyeom Kim
Additional contact information
Sangyeol Lee: Seoul National University
Chang Kyeom Kim: Seoul National University

Annals of the Institute of Statistical Mathematics, 2024, vol. 76, issue 2, No 7, 333-359

Abstract: Abstract This study aims to test for detecting a change point in the conditional quantile of general location-scale time series models. This issue is quite important in risk management because the conditional quantile is utilized to measure the value-at-risk or expected shortfall of financial assets. In this paper, we design two types of cumulative sum tests based on the conditional quantiles. Their limiting null distributions are derived under regularity conditions, together with consistency of the proposed tests under the alternative. Monte Carlo simulations demonstrate the good performance of the proposed tests in terms of both stability and power for various time series settings. A real data analysis using the daily returns of the Brent Oil futures also confirms the validity of the tests in real-world applications.

Keywords: Change point detection; Conditional heteroscedastic time series models; CUSUM test; Quantile regression; Risk management (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10463-023-00889-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:76:y:2024:i:2:d:10.1007_s10463-023-00889-z

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-023-00889-z

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().