Nonparametric monitoring of financial time series by jump-preserving control charts
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DOI: 10.1007/s00362-002-0112-0
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- Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
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Keywords
Digital image processing; EWMA control chart; financial econometrics; nonparametric smoothing; structural changes;All these keywords.
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