Abstract
In finance, the problem of turning-points detection plays a crucial role. In
this paper we develop a change detection procedure, based on an hypothesis test for
the difference between two consecutive slopes in a rolling regression framework.
Some empirical evidences on S&P 500 daily data change-point detection are
provided.
| Lingua originale | English |
|---|---|
| Titolo della pubblicazione ospite | Clada g 2017 Book of Short Papers |
| Pagine | N/A |
| Stato di pubblicazione | Pubblicato - 2017 |
| Evento | International Conference of The CLAssification and Data Analysis Group (CLADAG) of the Italian Statistical Society (SIS) - MILANO -- ITA Durata: 13 set 2017 → 15 set 2017 |
Convegno
| Convegno | International Conference of The CLAssification and Data Analysis Group (CLADAG) of the Italian Statistical Society (SIS) |
|---|---|
| Città | MILANO -- ITA |
| Periodo | 13/9/17 → 15/9/17 |
Keywords
- rolling regression.
- time series analysis
- turning point detection