Detection of financial time series turning points: A new CUSUM approach applied to IPO cycles

被引：1

作者：

Blondell D. ^{[1
]}

Hoang P. ^{[2
]}

Powell J.G. ^{[1
]}

Shi J. ^{[3
]}

机构：

[1] Department of Finance and Quantitative Analysis, University of Otago, Dunedin

[2] Department of Commerce, University of Queensland, St. Lucia Campus, Brisbane

[3] School of Finance and Applied Statistics, Australian National University, Canberra

来源：

Review of Quantitative Finance and Accounting | 2002年 / 18卷 / 3期

关键词：

CUSUM approach; Ipo cycle; Turning points;

D O I：

10.1023/A:1015344418860

中图分类号：

学科分类号：

摘要：

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. © 2002 Kluwer Academic Publishers.

引用

页码：293 / 315

页数：22

共 26 条

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