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Sequential monitoring of minimum variance portfolio

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  • Vasyl Golosnoy

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  • Vasyl Golosnoy, 2007. "Sequential monitoring of minimum variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(1), pages 39-55, March.
    • Handle: RePEc:spr:alstar:v:91:y:2007:i:1:p:39-55
    DOI: 10.1007/s10182-006-0016-8
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    References listed on IDEAS

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    1. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
    2. Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, June.
    3. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
    4. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
    5. Foster, Dean P & Nelson, Daniel B, 1996. "Continuous Record Asymptotics for Rolling Sample Variance Estimators," Econometrica, Econometric Society, vol. 64(1), pages 139-174, January.
    6. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, vol. 56(1), pages 329-352, February.
    7. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
    8. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
    9. Pesaran, M. Hashem & Timmermann, Allan, 2007. "Selection of estimation window in the presence of breaks," Journal of Econometrics, Elsevier, vol. 137(1), pages 134-161, March.
    10. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
    11. Busse, Jeffrey A, 1999. "Volatility Timing in Mutual Funds: Evidence from Daily Returns," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1009-1041.
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    Citations

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    Cited by:

    1. Frisén, Marianne, 2008. "Introduction to financial surveillance," Research Reports 2008:1, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    2. Frisén, Marianne, 2011. "Inference Principles For Multivariate Surveillance," Research Reports 2011:5, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    3. K. Triantafyllopoulos, 2011. "Time-varying vector autoregressive models with stochastic volatility," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(2), pages 369-382, September.
    4. Frisén, Marianne & Andersson, Eva & Schiöler, Linus, 2009. "Sufficient reduction in multivariate surveillance," Research Reports 2009:2, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    5. Frisén, Marianne, 2011. "On multivariate control charts," Research Reports 2011:2, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    6. Golosnoy, Vasyl & Ragulin, Sergiy & Schmid, Wolfgang, 2011. "CUSUM control charts for monitoring optimal portfolio weights," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2991-3009, November.

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