Detection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cycles

David Blondell, Philip Hoang, John G. Powell and Jing Shi

Review of Quantitative Finance and Accounting, 2002, vol. 18, issue 3, 293-315

Abstract: This paper presents a new Cumulative Sum approach for the detection of turning points in financial time series that are subject to cyclical mean level and volatility regime shifts. The new CUSUM approach is applied to the problem of detecting turning points in "hot issue" markets for Initial Public Offerings (IPOs), thus providing a multi-dimensional characterization of states of the IPO cycle. Copyright 2002 by Kluwer Academic Publishers

Date: 2002
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