Control Charts and Multifactor Affine Term Structure Models

DOI10.1080/1350486X.2025.2544266MaRDI QIDQ6870878zbMATH OpenFDO

Authors Konstantinos Bisiotis, S. Psarakis, Athanasios Yannacopoulos

Publication date 20 January 2026

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2025.2544266

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites work

• A Multivariate Exponentially Weighted Moving Average Control Chart
• A YIELD‐FACTOR MODEL OF INTEREST RATES
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• EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
• Ewma charts for multivariate time series
• EWMA Control Charts for Monitoring Optimal Portfolio Weights
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• scientific article; zbMATH DE number 2154348 (Why is no real title available?)
• Identification and estimation of Gaussian affine term structure models
• Multivariate Generalizations of Cumulative Sum Quality-Control Schemes
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model

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