Loss function-based change point detection in risk measures
Emese Lazar, Shixuan Wang, Xiaohan Xue
| Year of publication: |
2023
|
|---|---|
| Authors: | Lazar, Emese ; Wang, Shixuan ; Xue, Xiaohan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 310.2023, 1 (1.10.), p. 415-431
|
| Subject: | Risk analysis | Change point detection | Loss function | Risk measures | Stationary bootstrap | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risikomanagement | Risk management | Bootstrap-Verfahren | Bootstrap approach | Verlust | Loss |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.03.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014340186