On a CAPM monitoring based on the EWMA process control
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References 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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KeywordsCAPM; EWMA; Statistical process control; asymptotic expansions;
- 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
NEP fieldsThis 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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