Control charts for GARCH processes

Nonlinear Analysis, Theory, Methods and Applications

Volumn 47, Issue 3, 2001, Pages 2049-2060

  Schipper, S ^a,b   Schmid, W ^a,b  

^a Europe University   (Germany)

^b NONE

Author keywords

Financial time series; GARCH processes; Simultaneous control charts; Statistical process control; Trading system; Volatility

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; FINANCE; STRATEGIC PLANNING; TIME SERIES ANALYSIS;

EXPONENTIALLY WEIGHTED MOVING AVERAGE METHODS;

STATISTICAL PROCESS CONTROL;

EID: 0035424335     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0362-546X(01)00332-7     Document Type: Conference Paper

References (13)

1. Time-series modeling for statistical process control
2. Performance of CUSUM control schemes for serially correlated observations
3. The exponentially weighted moving variance
4. On EWMA charts for time series
5. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
6. Generalized autoregressive conditional heteroscedasticity
7. Sequential methods for detecting changes in the volatility of economic time series
8. Outliers in time series
9. Individual control charts for monitoring the mean and the variance of processes subject to step changes and drifts
10. On the distributional properties of GARCH processes
11. Monitoring changes in GARCH models