Sequential monitoring of portfolio betas

DOI10.1007/S00362-016-0783-6zbMath1398.62298OpenAlexW2477156112MaRDI QIDQ725685

Vasyl Golosnoy

Publication date: 2 August 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0783-6

zbMATH Keywords

time seriescontrol chartsstatistical process controlon-line monitoringrealized betaone factor model

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; risk measures (91G70) Applications of statistics in engineering and industry; control charts (62P30)

Cites Work

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