| Publication | Date of Publication | Type |
|---|
| Testing for parameter changes in linear state space models | 2024-07-25 | Paper |
| Monitoring the mean of multivariate financial time series | 2024-07-10 | Paper |
| Control charts for measurement error models | 2024-02-21 | Paper |
| Control charts for high-dimensional time series with estimated in-control parameters | 2024-02-02 | Paper |
| Multi-period power utility optimization under stock return predictability | 2023-12-14 | Paper |
| Sequential monitoring of high‐dimensional time series | 2023-10-11 | Paper |
| Statistical Inference for the Expected Utility Portfolio in High Dimensions | 2022-09-23 | Paper |
| Stochastic properties of spatial and spatiotemporal ARCH models | 2022-01-14 | Paper |
| Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty | 2021-06-02 | Paper |
| Mean-variance efficiency of optimal power and logarithmic utility portfolios | 2021-05-03 | Paper |
| Bayesian inference of the multi-period optimal portfolio for an exponential utility | 2020-02-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5205511 | 2019-12-12 | Paper |
| Bayesian estimation of the efficient frontier | 2019-11-07 | Paper |
| Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting | 2019-10-28 | Paper |
| Comparison of joint control schemes for multivariate normal i.i.d. output | 2019-09-11 | Paper |
| Correction to: ``Comparison of joint control schemes for multivariate normal i.i.d. output | 2019-09-11 | Paper |
| Surveillance of non-stationary processes | 2019-09-11 | Paper |
| GARCH processes and the phenomenon of misleading and unambiguous signals | 2019-02-08 | Paper |
| Misleading Signals in Simultaneous Schemes for the Mean Vector and Covariance Matrix of a Bivariate Process | 2019-01-09 | Paper |
| Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series | 2018-11-09 | Paper |
| Discussion of “Statistical methods for network surveillance” by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson | 2018-09-14 | Paper |
| Behavior of EWMA type control charts for small smoothing parameters | 2018-08-21 | Paper |
| Estimation of the global minimum variance portfolio in high dimensions | 2018-05-30 | Paper |
| Estimation of the global minimum variance portfolio in high dimensions | 2018-04-01 | Paper |
| CUSUM control schemes for monitoring the covariance matrix of multivariate time series | 2018-01-12 | Paper |
| Monitoring means and covariances of multivariate non linear time series with heavy tails | 2017-12-06 | Paper |
| Tests for the weights of the global minimum variance portfolio in a high-dimensional setting | 2017-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5357840 | 2017-09-18 | Paper |
| On the structure and estimation of hierarchical Archimedean copulas | 2017-05-12 | Paper |
| Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models | 2016-10-28 | Paper |
| On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability | 2016-10-06 | Paper |
| Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices | 2016-07-15 | Paper |
| The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility | 2016-05-19 | Paper |
| On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output | 2016-05-17 | Paper |
| Distributional properties of portfolio weights | 2016-05-02 | Paper |
| Multivariate CUSUM chart: properties and enhancements | 2016-02-25 | Paper |
| Variance Charts for Time Series: A Comparison Study | 2016-02-25 | Paper |
| A test for the weights of the global minimum variance portfolio in an elliptical model | 2015-10-14 | Paper |
| A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function | 2015-08-21 | Paper |
| Quality surveillance with EWMA control charts based on exact control limits | 2015-08-03 | Paper |
| On the equivalence of quadratic optimization problems commonly used in portfolio theory | 2015-07-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5255164 | 2015-06-12 | Paper |
| New characteristics for portfolio surveillance | 2014-03-12 | Paper |
| On control charts for monitoring the variance of a time series | 2014-01-27 | Paper |
| Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data | 2013-11-12 | Paper |
| Stochastic Ordering in the Qualitative Assessment of the Performance of Simultaneous Schemes for Bivariate Processes | 2013-05-30 | Paper |
| Properties of hierarchical Archimedean copulas | 2013-04-23 | Paper |
| Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests | 2012-12-03 | Paper |
| On the exact distribution of the estimated expected utility portfolio weights: Theory and applications | 2011-12-23 | Paper |
| Comparison of different estimation techniques for portfolio selection | 2011-08-25 | Paper |
| CUSUM control charts for monitoring optimal portfolio weights | 2011-08-09 | Paper |
| CUSUM charts for monitoring the mean of a multivariate Gaussian process | 2011-03-22 | Paper |
| Misleading Signals in Simultaneous Residual Schemes for the Mean and Variance of a Stationary Process | 2009-11-16 | Paper |
| On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio | 2009-10-09 | Paper |
| Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén | 2009-09-18 | Paper |
| Statistical inference of the efficient frontier for dependent asset returns | 2009-09-14 | Paper |
| Estimation of optimal portfolio compositions for Gaussian returns | 2009-05-12 | Paper |
| Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei | 2008-12-04 | Paper |
| Statistical Process Control in Asset Management | 2008-12-01 | Paper |
| Surveillance of the mean behavior of multivariate time series | 2008-12-01 | Paper |
| Asset allocation with distorted beliefs and transaction costs | 2008-11-20 | Paper |
| EWMA Charts for Multivariate Output: Some Stochastic Ordering Results | 2008-10-28 | Paper |
| ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS | 2008-08-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3512772 | 2008-07-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3512773 | 2008-07-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3512774 | 2008-07-21 | Paper |
| Multivariate control charts based on a projection approach | 2008-03-06 | Paper |
| On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ | 2008-01-18 | Paper |
| The distribution of the sample variance of the global minimum variance portfolio in elliptical models | 2007-12-03 | Paper |
| EWMA Control Charts for Monitoring Optimal Portfolio Weights | 2007-06-07 | Paper |
| Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich | 2007-03-21 | Paper |
| EWMA charts for monitoring the mean and the autocovariances of stationary processes | 2006-11-14 | Paper |
| Surveillance of the covariance matrix of multivariate nonlinear time series | 2005-09-21 | Paper |
| Monitoring the cross-covariances of a multivariate time series | 2005-05-17 | Paper |
| Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model | 2005-01-18 | Paper |
| Sequential control of non-stationary processes by nonparametric kernel control charts | 2004-09-22 | Paper |
| Control charts for GARCH processes. | 2004-08-26 | Paper |
| Monitoring the mean and the variance of a stationary process | 2004-06-15 | Paper |
| Tail behaviour of a general family of control charts | 2004-03-08 | Paper |
| EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes | 2003-12-14 | Paper |
| CUSUM control schemes for Gaussian processes | 2003-01-15 | Paper |
| SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES | 2002-06-30 | Paper |
| On the Distributional Properties of GARCH Processes | 2001-09-16 | Paper |
| Robustness of the Standard Deviation and Other Measures of Dispersion | 2001-05-17 | Paper |
| The influence of parameter estimation on the ARL of Shewhart type charts for time series | 2000-11-16 | Paper |
| On the joint distribution of a quadratic and a linear form in normal variables | 2000-07-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4955684 | 2000-05-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4373571 | 2000-04-25 | Paper |
| A comparison of several procedures for identifying outliers in contaminated ARMA processes | 2000-03-02 | Paper |
| On the run length of the EWMA scheme: A monotonicity result for normal variables | 1999-10-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4225899 | 1999-01-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4217118 | 1998-11-03 | Paper |
| Some properties of the EWMA control chart in the presence of autocorrelation | 1998-09-28 | Paper |
| Ewma charts for multivariate time series | 1998-03-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4718551 | 1997-04-13 | Paper |
| AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR | 1997-03-23 | Paper |
| Control charts for time series | 1997-01-01 | Paper |
| An outlier test for linear processes. II: Large contamination | 1996-09-22 | Paper |
| On the run length of a Shewhart chart for correlated data | 1995-07-03 | Paper |
| An outlier test for linear processes | 1993-10-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4022182 | 1993-01-17 | Paper |
| Outliers in a multivariate autoregressive moving-average process | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3492968 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3497078 | 1990-01-01 | Paper |
| Identification of a Type I Outlier in an Autoregressive Model | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3814605 | 1988-01-01 | Paper |
| The Multiple Outlier Problem in Time Series Analysis | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3677003 | 1984-01-01 | Paper |
