Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price

DOI10.1080/07474946.2012.651971MaRDI QIDQ5389554zbMATH OpenOpenAlexFDO

Authors Carlo Grillenzoni

Publication date 21 April 2012

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2012.651971

zbMATH Keywords

sequential detectionrandom walksturning pointsrecursive estimatorsfinancial series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Sequential estimation (62L12) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5302220 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• An introduction to stochastic unit-root processes
• Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
• Cusum techniques for technical trading in financial markets
• Methods for applied macroeconomic research.
• Monitoring Processes That Wander Using Integrated Moving Average Models
• Non-linear models: where do we go next - time varying parameter models?
• Performance analysis of general tracking algorithms
• Some statistical aspects of methods for detection of turning points in business cycles
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Weighted Dickey-Fuller processes for detecting stationarity

Cited in

(1)

• Sequential estimation for the multiple linear regression models with balanced loss functions

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