Statistical process control and its application in finance

被引：0

作者：

Severin, T ^{[1
]}

Schmid, W ^{[1
]}

机构：

[1] Europe Univ Viadrina, Dept Stat, D-15207 Frankfurt, Germany

来源：

RISK MANAGEMENT, ECONOMETRICS AND NEURAL NETWORKS | 1998年

关键词：

financial time series; GARCH process; statistical process control; control charts; stock market returns;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Analyzing a financial time series it is of great interest to monitor changes in its structure. In this paper it is shown how control charts can be used to detect such positions. Several control schemes for GARCH processes are introduced and compared with each other. Furthermore these methods are applied to stock market returns.

引用

页码：83 / 104

页数：22

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