Surveillance of the covariance matrix of multivariate nonlinear time series

Statistics

Volumn 39, Issue 3, 2005, Pages 221-246

  Sliwaf, Przemysław ^a   Schmid, Wolfgang ^a  

^a Europe University   (Germany)

Author keywords

Change detection; Exponential smoothing; Financial applications; Multivariate GARCH models; Statistical process control

Indexed keywords

EID: 19944411132     PISSN: 02331888     EISSN: None     Source Type: Journal    
DOI: 10.1080/02331880500062170     Document Type: Article

References (44)

1. Page, E.S., 1954, Continuous inspection schemes. Biometrika, 41(1), 100-114.
2. Roberts, S.W., 1959, Control charts tests based on geometric moving averages. Technometrics, 1, 239-250.
3. Shewhart, W.A., 1926, Quality control charts. Bell System Technical Journal, 593-603.
4. Shewhart, W.A., 1931, Economic Control of Quality of Manufactured Product (Toronto: D. van Nostrand Company).
5. MacGregor, J.F. and Harris, T.J., 1993, The exponentially weighted moving variance. Journal of Quality Technology, 25, 106-118.
6. Hawkins, D.M. and Olwell, D.H., 1998, Cumulative Sum Charts and Charting for Quality Improvement (New York: Springer).
7. Healy, J.D., 1987, A note on multivariate CUSUM procedures. Technometrics, 29(4), 409-412.
8. Crosier, R.B., 1988, Multivariate generalization of cumulative sum quality-control schemes. Technometrics, 30(3), 291-303.
9. Pignatiello, J.J. and Runger, G.C., 1990, Comparisons of multivariate CUSUM charts. Journal of Quality Technology, 22(3), 173-186.
10. Hawkins, D.M., 1991, Multivariate quality control based on regression-adjusted variables. Technometrics, 33(1), 61-75.
11. Lowry, C., Woodall, W., Champ, C.W. and Rigdon, S.E., 1992, A multivariate exponentially weighted moving average chart. Technometrics, 34, 46-53.
12. Alwan, L.C., 1989, Time Series Modelling for Statistical Process Control, Ph.D. thesis, Graduate School of Bussiness, Chicago, PhD Thesis.
13. Theodossiou, P.T., 1993, Predicting shift in the mean of a multivariate time series process: an application in predicting business failures. Journal of the American Statistical Association, 88(422), 441-449.
14. Kramer, H. and Schmid, W., 1997, EWMA charts for multivariate time series. Sequential Analysis, 16(2), 131-154.
15. Bollerslev, T., Engle, R.F. and Wooldridge, J.M., 1988, A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96(1), 116-131.
16. Chan, L.K. and Zhang, J., 2001, Cumulative sum control charts for the covariance matrix. Statistica Sinica, 11(3), 767-790.
17. Sliwa, P. and Schmid, W., 2005, Monitoring the cross-covariances of multivariate time series. Metrika, 61, 89-115.
18. Engle, R., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica, 50, 987-1008.
19. Bollerslev, T., 1986, Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327.
20. Bollerslev, T., 1990, Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach. Review of Economics and Statistics, 72, 498-505.
21. Harvey, A., Ruiz, E. and Shephard, N., 1994, Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 2, 247-264.
22. Engle, R., Ng, V. and Rothschild, M., 1990, Asset Pricing with a factor arch covariance structure: empirical estimates for treasury bills. Journal of Econometrics, 45(2), 213-237.
23. Engle, R.F. and Kroner, K.F., 1995, Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122-150.
24. Harville, D.A., 1997, Matrix Algebra from a Statistician 's Perspective (New York: Springer).
25. Brockwell, P.J. and Davis, R.A., 1991, Time Series: Theory and Methods (New York: Springer).
26. Hafner, C.M., 2003, Fourth moment structure of multivariate GARCH models. Journal of Financial Econometrics, 1(1), 26-54.
27. Muirhead, R.J., 1982, Aspects of Multivariate Statistical Theory (New York: Wiley).
28. Magnus, J.R. and Neudecker, H., 1999, Matrix Differential Calculus with Applications in Statistics and Econometrics (New York: Wiley).
29. Fang, K.T., Kotz, S. and Ng, K.W., 1990, Symmetric Multivariate and Related Distributions (London: Chapman and Hall).
30. Tong, Y.L., 1990, The Multivariate Normal Distribution (Springer Verlag).
31. Schipper, S. and Schmid, W., 2001, Sequential methods for detecting changes in the variance of economic time series. Sequential Analysis, 20(4), 235-262.
32. Überhuber, C.W., 1997, Numerical Computation (New York: Springer).
33. Knoth, S., 2004, Fast initial response features for EWMA control charts. Statistical Papers, 46(1), 47-64.
34. de Santis, G. and Gérard, B.G., 1997, International asset pricing and portfolio diversification with time-varying risk. Journal of Finance, LII(5), 1881-1912.
35. de Santis, G. and Gérard, B.C., 1998, How big is the premium for currency risk. Journal of Financial Economics, 49, 375-412.
36. Hansson, B. and Hördahl, P., 1998, Testing the conditional CAPM using multivariate GARCH-M. Applied Financial Economics, 8, 377-388.
37. Ledoit, O., Santa-Clara, P. and Wolf, M., 2003, Flexible multivariate GARCH modelling with an application to international stock markets. The Review of Economics and Statistics, 85(3), 735-747.
38. Bollerslev, T., 1987, A conditionally heteroscedastic time series model for speculative prices and rates of return. The Review of Economics and Statistics, 69(3), 542-547.
39. Rosolowski, M. and Schmid, W., 2003, EWMA charts for monitoring the mean and the autocovariances of stationary Gaussian processes. Sequential Analysis, 22(4), 257-285.
40. Lucchetti, R., 2002, Analytical score for multivariate GARCH models. Computational Economics, 19(2), 133-143.
41. Griewank, A., Juedes, D. and Utke, J., 1996, Algorithm 755: ADOL-C: a package for the automatic differentiation of algorithms written in C\C++. ACM Transactions on Mathematical Software, 22(2), 131-167.
42. Mardia, K.V., 1980, Measures of multivariate skewness and kurtosis with applications. Biometrika, 57(3), 519-529.
43. Henze, N. and Zirkler, B., 1990, A class of invariant consistant tests for multivariate normality. Commun. Statist.-Theory Meth., 19(10), 3595-3617.
44. Severin, T. and Schmid, W., 1999, Monitoring changes in GARCH models. Allgemeines Statistisches Archiv, 83(3), 281-307.