Objectif The research project has two broad objectives and provides novel results in the literature of structural change or change-point tests. The first objective is to provide two new methods for restoring the non-monotone power problem of a large family of structural breaks tests that have been widely used in econometrics and statistics, as well as to show that these methods have additional contributions and can be extended to: (i) tests for a change in persistence, (ii) partial sums tests of cointegration and (iii) tests for changes in dynamic volatility models. The significance of these methods is demonstrated via the consistency of the long-run variance estimator which scales the change-point statistics, the asymptotic properties of the tests, their finite sample performance and their relevance in empirical applications and policy analysis. The second objective is threefold: First, to show that ignoring structural changes in financial time series yields biased and inconsistent risk management (Value at Risk, VaR and Excess Shortfall, ES) estimates and consequently leads to investment misallocations. Second, to propose methods for evaluating the stability of financial time series sequentially or on-line which can be used as a quality control procedure for financial risk management as well as to show that monitoring implied volatilities yields early warning indicators of a changing risk structure. Moreover we show that model averaging in the presence of structural breaks as well as other model uncertainties involved in risk management estimates, can provide robust estimates of VaR and ES. New results are derived on the optimal weights for model averaging in the context of dynamic volatility models and asymmetric loss functions. Third, we propose a novel way to construct prediction-based change-point statistics that reduce the detection delay of existing sequential tests and provide a probability about the likelihood of a structural change. Champ scientifique social scienceseconomics and businesseconomicseconometricssocial sciencessociologygovernancecrisis management Mots‑clés Change-point tests Heteroskedastic and autocorrel Heteroskedastic and autocorrelation consistent estimator Model uncertainty Rank statistics Risk management Volatility models Programme(s) FP7-IDEAS-ERC - Specific programme: "Ideas" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Thème(s) ERC-SG-SH1 - ERC Starting Grant - Individuals, institutions and markets Appel à propositions ERC-2007-StG Voir d’autres projets de cet appel Régime de financement ERC-SG - ERC Starting Grant Institution d’accueil UNIVERSITY OF CYPRUS Contribution de l’UE € 517 200,00 Adresse AVENUE PANEPISTIMIOU 2109 AGLANTZI 1678 Nicosia Chypre Voir sur la carte Région Κύπρος Κύπρος Κύπρος Type d’activité Higher or Secondary Education Establishments Contact administratif Nicoleta Nicolaou-Pissarides (Ms.) Chercheur principal Elena Andreou (Dr.) Liens Contacter l’organisation Opens in new window Site web Opens in new window Coût total Aucune donnée Bénéficiaires (1) Trier par ordre alphabétique Trier par contribution de l’UE Tout développer Tout réduire UNIVERSITY OF CYPRUS Chypre Contribution de l’UE € 517 200,00 Adresse AVENUE PANEPISTIMIOU 2109 AGLANTZI 1678 Nicosia Voir sur la carte Région Κύπρος Κύπρος Κύπρος Type d’activité Higher or Secondary Education Establishments Contact administratif Nicoleta Nicolaou-Pissarides (Ms.) Chercheur principal Elena Andreou (Dr.) Liens Contacter l’organisation Opens in new window Site web Opens in new window Coût total Aucune donnée
