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

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dc.contributor.authorBlondell, Daviden_US
dc.contributor.authorHoang, Philipen_US
dc.contributor.authorPowell, John Gen_US
dc.contributor.authorShi, Jingen_US
dc.date.accessioned2002-05-14en_US
dc.date.accessioned2004-05-19T11:32:00Zen_US
dc.date.accessioned2011-01-05T08:36:47Z
dc.date.available2004-05-19T11:32:00Zen_US
dc.date.available2011-01-05T08:36:47Z
dc.date.created2001en_US
dc.date.issued2001en_US
dc.description.abstractThis 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.en_US
dc.format.extent169552 bytesen_US
dc.format.mimetypeapplication/pdfen_US
dc.identifier.urihttp://hdl.handle.net/1885/40663en_US
dc.identifier.urihttp://digitalcollections.anu.edu.au/handle/1885/40663
dc.language.isoen_AUen_US
dc.subjectCUSUM approachen_US
dc.subjectIPO cyclesen_US
dc.subjectturning pointsen_US
dc.titleDetection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cyclesen_US
dc.typeWorking/Technical Paperen_US
local.citationWorking Paper Series in Finance 01-06en_US
local.contributor.affiliationANUen_US
local.contributor.affiliationSchool of Finance and Applied Statisticsen_US
local.description.refereednoen_US
local.identifier.citationmonthdecen_US
local.identifier.citationyear2001en_US
local.identifier.eprintid363en_US
local.rights.ispublishedyesen_US

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