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Statistics
A Journal of Theoretical and Applied Statistics
Volume 44, 2010 - Issue 3
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Original Articles

New characteristics for portfolio surveillance

Vasyl Golosnoy Institute of Statistics and Econometrics, Kiel University, Olshausenstr. 40, D24118, Kiel, GermanyCorrespondence[email protected]
,
Iryna Okhrin Department of Statistics, European University Viadrina, Frankfurt (Oder), D15230, Germany
&
Wolfgang Schmid Department of Statistics, European University Viadrina, Frankfurt (Oder), D15230, Germany
Pages 303-321 | Received 18 Feb 2008, Published online: 17 Jun 2009

Citations (7)

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Read on this site (2)

Vasyl Golosnoy & Miriam Isabel Seifert. (2021) Monitoring mean changes in persistent multivariate time series. Statistics 55:3, pages 475-488.
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Sotiris Bersimis, Aggeliki Sgora & Stelios Psarakis. (2018) The application of multivariate statistical process monitoring in non-industrial processes. Quality Technology & Quantitative Management 15:4, pages 526-549.
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Articles from other publishers (5)

Ali Yeganeh & Sandile Charles Shongwe. (2023) A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring. PLOS ONE 18:7, pages e0288627.
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Konstantinos Bisiotis, Stelios Psarakis & Athanasios N. Yannacopoulos. (2022) Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection. Mathematics 10:21, pages 4094.
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Konstantinos Bisiotis, Stelios Psarakis & Athanasios N. Yannacopoulos. (2021) Control charts in financial applications: An overview. Quality and Reliability Engineering International 38:3, pages 1441-1462.
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Philipp Otto & Wolfgang Schmid. (2018) Discussion of “Statistical methods for network surveillance” by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson. Applied Stochastic Models in Business and Industry 34:4, pages 452-456.
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Robert Garthoff, Vasyl Golosnoy & Wolfgang Schmid. (2014) Monitoring the mean of multivariate financial time series. Applied Stochastic Models in Business and Industry 30:3, pages 328-340.
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