On a CAPM monitoring based on the EWMA process control
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 283.
Date of creation: 01 Aug 2003
Date of revision:
CAPM; EWMA; Statistical process control; asymptotic expansions;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-CFN-2003-10-20 (Corporate Finance)
- NEP-FIN-2003-10-20 (Finance)
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- repec:wop:humbsf:2002-41 is not listed on IDEAS
- Knoth, Sven, 2002. "Statistical process control," SFB 373 Discussion Papers 2002,41, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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