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On a CAPM monitoring based on the EWMA process control

Author

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  • Bakhodir A Ergashev

Abstract

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Suggested Citation

  • Bakhodir A Ergashev, 2003. "On a CAPM monitoring based on the EWMA process control," Computing in Economics and Finance 2003 283, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:283
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    File URL: http://www.artsci.wustl.edu/~bergashe/ErgashevCAPM.pdf
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    References listed on IDEAS

    as
    1. Knoth, Sven, 2002. "Statistical process control," SFB 373 Discussion Papers 2002,41, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    More about this item

    Keywords

    CAPM; EWMA; Statistical process control; asymptotic expansions;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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