| Publication | Date of Publication | Type |
|---|
Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2024-09-11 | Paper |
Testing for parameter changes in linear state space models
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Monitoring the mean of multivariate financial time series
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Control charts for measurement error models
AStA. Advances in Statistical Analysis | 2024-02-21 | Paper |
The effect of intraday periodicity on realized volatility measures
Metrika | 2023-04-11 | Paper |
Unrestricted maximum likelihood estimation of multivariate realized volatility models
European Journal of Operational Research | 2022-09-29 | Paper |
Monitoring mean changes in persistent multivariate time series
Statistics | 2021-11-08 | Paper |
Signaling NBER turning points: a sequential approach
Journal of Applied Statistics | 2020-10-26 | Paper |
Interval shrinkage estimators
Journal of Applied Statistics | 2020-09-30 | Paper |
Using information quality for volatility model combinations
Quantitative Finance | 2018-09-19 | Paper |
Sequential monitoring of portfolio betas
Statistical Papers | 2018-08-02 | Paper |
The conditional autoregressive Wishart model for multivariate stock market volatility
Journal of Econometrics | 2016-08-15 | Paper |
Multivariate CUSUM chart: properties and enhancements
AStA. Advances in Statistical Analysis | 2016-02-25 | Paper |
New characteristics for portfolio surveillance
Statistics | 2014-03-12 | Paper |
Dynamic modeling of high-dimensional correlation matrices in finance
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
CUSUM control charts for monitoring optimal portfolio weights
Computational Statistics and Data Analysis | 2011-08-09 | Paper |
Nonparametric monitoring of equal predictive ability
Journal of Statistical Planning and Inference | 2011-06-24 | Paper |
No-transaction bounds and estimation risk
Quantitative Finance | 2010-06-16 | Paper |
Flexible shrinkage in portfolio selection
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Statistical Process Control in Asset Management
Applied Quantitative Finance | 2008-12-01 | Paper |
| scientific article; zbMATH DE number 5302224 (Why is no real title available?) | 2008-07-21 | Paper |
Sequential monitoring of minimum variance portfolio
AStA. Advances in Statistical Analysis | 2007-11-27 | Paper |
EWMA Control Charts for Monitoring Optimal Portfolio Weights
Sequential Analysis | 2007-06-07 | Paper |
