GARCH processes and the phenomenon of misleading and unambiguous signals

DOI10.1002/ASMB.2334zbMATH Open1411.62307OpenAlexW2800406551WikidataQ129873123 ScholiaQ129873123MaRDI QIDQ4620249FDOQ4620249

Authors: Beatriz Sousa, Manuel Cabral Morais, Yarema Okhrin, Wolfgang Schmid 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/42642/42642.pdf

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zbMATH Keywords

statistical process controlfinancial time seriesvalid signalsjoint EWMA schemes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited In (2)

• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• The story of GARCH: a personal odyssey

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