Real-time assessment of value-at-risk and volatility accuracy

DOI10.1016/j.nonrwa.2005.08.008zbMath1142.91597OpenAlexW2062232112MaRDI QIDQ864231

N. E. Zubov

Publication date: 13 February 2007

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2005.08.008

zbMATH Keywords

likelihood ratioCUSUMstatistical process controlsequential testingprobability integral transformationKullback informationdensity forecast assessment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10)

Related Items (1)

Information-based multi-assets artificial stock market with heterogeneous agents

Cites Work

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• Decision theoretic optimality of the cusum procedure
• Optimal stopping times for detecting changes in distributions
• The detection and estimation of the change point in a disccrete-time stochastic system
• Control charts applying a general sequential test at each sampling point
• CONTINUOUS INSPECTION SCHEMES
• The SPRT control chart for the process mean with samples starting at fixed times

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