Evaluations of Likelihood-Based Surveillance of Volatility

Financial Surveillance

Volumn , Issue , 2008, Pages 93-113

  Bock, David ^a,b  

^a UNIVERSITY OF GOTHENBURG   (Sweden)

^b UNIVERSITY OF GOTHENBURG   (Sweden)

Author keywords

Better predictive values and early alarms; Change point time; Exponentially weighted moving averages (EWMA); Fetal heart rate during labour or intrauterine growth retardation; Generalized autoregressive conditional heteroskedacity (GARCH); High alarm probability and high false alarm probability; Likelihood based methods of statistical surveillance; Partial likelihood ratios; Run length densities; Squared returns and a sequential segmentation approach

Indexed keywords

AUTO-REGRESSIVE; CHANGE-POINTS; EXPONENTIALLY WEIGHTED MOVING AVERAGE; FALSE ALARM PROBABILITY; GROWTH RETARDATION; PARTIAL LIKELIHOODS; PREDICTIVE VALUES; RUN LENGTH; SEQUENTIAL SEGMENTATION;

ALARM SYSTEMS;

EID: 84954322371     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470987179.ch4     Document Type: Chapter

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