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Detection of changes in a random financial sequence with a stable distribution
16 references·0 citing·34 second hop
Detection of changes in a random financial sequence with a stable distribution (2010)Detection of changes in a random financia…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)The New Econometrics of Struc…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Control Chart Tests Based on Geometric Moving Averages (2000)Control Chart Tests Based on …The variation of certain speculative prices (1997)The variation of certain spec…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Time-Series Modeling for Statistical Process Control (1988)Time-Series Modeling for Stat…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…On Optimum Methods in Quickest Detection Problems (1963)On Optimum Methods in Quickes…The Pareto-Levy Law and the Distribution of Income (1960)The Pareto-Levy Law and the D…Control Chart Tests Based on Geometric Moving Averages (1959)Control Chart Tests Based on …CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESEconomic Control of Quality of Manufactured Product. (1932)Economic Control of Quality o…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical process control as a tool for research and healthcare improvement (2003)Data quality for data science, predictive analytics, and big data in supply chain management: An introduction to the problem and suggestions for research and applications (2014)The Exponentially Weighted Moving Average (1986)A Multivariate Exponentially Weighted Moving Average Control Chart (1992)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1932Economic Control of Quality of Manufactured Product.3,069 cited
  • 1959Control Chart Tests Based on Geometric Moving Averages1,544 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2000Control Chart Tests Based on Geometric Moving Averages1,252 cited
  • 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity853 cited
  • 1963On Optimum Methods in Quickest Detection Problems839 cited
  • 1960The Pareto-Levy Law and the Distribution of Income741 cited
  • 1988Time-Series Modeling for Statistical Process Control724 cited

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2000
Stable Paretian Models in Finance
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