SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
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Publication:4331108
DOI10.1081/SQA-100107647zbMATH Open0987.62053MaRDI QIDQ4331108FDOQ4331108
Authors: S. Schipper, Wolfgang Schmid 
Publication date: 30 June 2002
Published in: Sequential Analysis (Search for Journal in Brave)
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)
Cites Work
- Time series: theory and methods.
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- Sequential analysis. Tests and confidence intervals
- ARCH modeling in finance. A review of the theory and empirical evidence
- Testing and Locating Variance Changepoints with Application to Stock Prices
- CONTINUOUS INSPECTION SCHEMES
- A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
- Performance of CUSUM Control Schemes for Serially Correlated Observations
- Some properties of the EWMA control chart in the presence of autocorrelation
Cited In (22)
- On control charts for monitoring the variance of a time series
- Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
- A sequential method for the evaluation of the VaR model based on the run between exceed\-ances
- EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
- Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
- Surveillance of the covariance matrix of multivariate nonlinear time series
- Monitoring the mean and the variance of a stationary process
- Behavior of EWMA type control charts for small smoothing parameters
- Detecting periods in which a time series model fails to predict the observed volatility
- Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems
- Optimal Surveillance Based on Exponentially Weighted Moving Averages
- EWMA charts for monitoring the mean and the autocovariances of stationary processes
- Robust surveillance of covariance matrices using a single observation
- Control charts for high-dimensional time series with estimated in-control parameters
- Properties and Use of the Shewhart Method and Its Followers
- Sequential monitoring of high‐dimensional time series
- Sequential monitoring of minimum variance portfolio
- Nonparametric monitoring of financial time series by jump-preserving control charts
- Surveillance of the mean behavior of multivariate time series
- Title not available (Why is that?)
- EWMA Control Charts for Monitoring Optimal Portfolio Weights
- Variance charts for time series: a comparison study
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