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ArticleMonitoring multivariate time series

Yannick Hoga2016

OA

Articlebronze2016

Monitoring multivariate time series

21 citations·0/0 files stored·Journal of Multivariate Analysis

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Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Fault Detection and Control Systems

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2001Empirical properties of asset returns: stylized facts and statistical issues 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 2012Dynamic Factor Models 2011The Oxford Handbook of Economic Forecasting 2006Extreme Value Theory 1998Testing For and Dating Common Breaks in Multivariate Time Series

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2022Monitoring Value-at-Risk and Expected Shortfall Forecasts 2018Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models

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Year2016

Typearticle

Published2016-12-18

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations21

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1016/j.jmva.2016.12.003

openalex_workW2567520565

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