Evaluations of likelihood based surveillance of volatility
Download full text from publisher
References listed on IDEAS
- Elena Andreou & Eric Ghysels, 2002.
"Detecting multiple breaks in financial market volatility dynamics,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
- E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
- Christian Sonesson & David Bock, 2003. "A review and discussion of prospective statistical surveillance in public health," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 166(1), pages 5-21.
- A. F. B. Costa & M. A. Rahim, 2004. "Monitoring Process Mean and Variability with One Non-central Chi-square Chart," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(10), pages 1171-1183.
- Eva Andersson & David Bock & Marianne Frisén, 2004. "Detection of Turning Points in Business Cycles," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(1), pages 93-108.
- Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frisén, Marianne, 2011. "Methods and evaluations for surveillance in industry, business, finance, and public health," Research Reports 2011:3, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
More about this item
Keywordssurveillance; statistical process control; monitoring; likelihood ratio; Shewhart; CUSUM;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:gunsru:2007_009. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Linus Schiöler). General contact details of provider: http://www.statistics.gu.se/ .