scientific article; zbMATH DE number 1449649

MaRDI QIDQ4955684zbMATH OpenFDO

Authors Thomas Severin, Wolfgang Schmid

Publication date 21 May 2000

zbMATH Keywords

control chartsCUSUMEWMAGARCH processesstatistical process control

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30)

Recommendations

• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Performance of control charts for autoregressive conditional heteroscedastic processes
• Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes
• On change-point detection in volatile series using GARCH models
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

Cited in

(5)

• Nonparametric monitoring of financial time series by jump-preserving control charts
• Statistical Process Control in Asset Management
• Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Empirical analysis on international gold price monitoring based on GARCH control chart

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