Control charts for the mean and the autocovariances of financial time series:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2003
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | II, 139 S. graph. Darst. 30 cm |
Internformat
MARC
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| 100 | 1 | |a Rosołowski, Maciej |d 1974- |e Verfasser |0 (DE-588)128957603 |4 aut | |
| 245 | 1 | 0 | |a Control charts for the mean and the autocovariances of financial time series |c von Maciej Rosołowski |
| 264 | 1 | |c 2003 | |
| 300 | |a II, 139 S. |b graph. Darst. |c 30 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Frankfurt (Oder), Europa-Univ., Diss., 2003 | ||
| 650 | 4 | |a Kapitalmarkttheorie - Zeitreihenanalyse - GARCH-Prozess - Qualitätsregelkarte | |
| 650 | 0 | 7 | |a Qualitätsregelkarte |0 (DE-588)4032320-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkttheorie |0 (DE-588)4137411-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a GARCH-Prozess |0 (DE-588)4346436-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | 2 | |a GARCH-Prozess |0 (DE-588)4346436-1 |D s |
| 689 | 0 | 3 | |a Qualitätsregelkarte |0 (DE-588)4032320-1 |D s |
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Datensatz im Suchindex
| _version_ | 1807503918151761920 |
|---|---|
| adam_text |
CONTENTS
1
INTRODUCTION
1
2
CONTROL
CHARTS
FOR
MONITORING
THE
AUTOCOVARIANCE
AT
LAG
ONE
7
2.1
MODELING
.
8
2.2
CUSUM
CHARTS
FOR
THE
CORRELATION
COEFFICIENT
OF
AN
AR(1)
.
.
8
2.2.1
A
CUSUM
CHART
BASED
ON
THE
LIKELIHOOD
RATIO
.
9
2.2.2
A
CUSUM
CHART
BASED
ON
THE
SPRT
.
13
2.3
EWMA
CHARTS
FOR
THE
AUTOCOVARIANCE
.
13
2.3.1
A
TWO-SIDED
EWMA
CHART
FOR
THE
AUTOCOVARIANCE
AT
LAG
1
.
13
2.4
A
COMPARISON
OF
THE
CHARTS
.
22
3
EWMA
CHARTS
FOR
MONITORING
THE
MEAN
AND
THE
AUTOCO
VARIANCES
OF
STATIONARY
GAUSSIAN
PROCESSES
29
3.1
MODEL
ASSUMPTIONS
.
30
3.2
EWMA
CHARTS
OF
THE
OBSERVATIONS
.
31
3.2.1
A
UNIVARIATE
CHART
BASED
ON
THE
MAHALANOBIS
DISTANCE
31
3.2.2
A
MULTIVARIATE
CHART
.
32
3.3
EWMA
CHARTS
OF
THE
RESIDUALS
.
41
3.3.1
A
UNIVARIATE
CHART
BASED
ON
THE
MAHALANOBIS
DISTANCE
42
3.3.2
A
MULTIVARIATE
CHART
.
43
3.4
PERFORMANCE
COMPARISON
OF
THE
CONTROL
CHARTS
.
44
3.4.1
THE
IN
AND
OUT-OF-CONTROL
PROCESSES
.
44
3.4.2
SEQUENTIAL
TESTING
FOR
RANDOMNESS
.
48
3.4.3
MONITORING
THE
AUTOCOVARIANCES
OF
AN
AR
PROCESS
.
48
3.4.4
MONITORING
THE
AUTOCOVARIANCES
OF
AN
ARMA
PROCESS
.
52
3.5
EXAMPLE
.
54
4
EWMA
CHARTS
FOR
MONITORING
THE
MEAN
AND
THE
AUTOCO
VARIANCES
OF
STATIONARY
PROCESSES
60
4.1
MODEL
ASSUMPTIONS
.
60
4.2
EWMA
CHARTS
OF
THE
OBSERVATIONS
.
64
4.2.1
A
UNIVARIATE
CHART
BASED
ON
THE
MAHALANOBIS
DISTANCE
64
4.2.2
A
MULTIVARIATE
CHART
.
67
4.3
EWMA
CHARTS
OF
THE
RESIDUALS
.
77
4.3.1
A
UNIVARIATE
CHART
BASED
ON
THE
MAHALANOBIS
DISTANCE
84
4.3.2
A
MULTIVARIATE
CHART
.
85
4.4
A
COMPARISON
OF
THE
CONTROL
CHARTS
.
85
4.4.1
THE
INERTIA
MODEL
.
87
4.4.2
THE
MODEL
WITH
A
CHANGE
IN
THE
PARAMETERS
OF
AN
ARMA
PROCESS
.
90
5
EWMA
CHARTS
FOR
THE
MEAN
AND
THE
AUTOCOVARIANCES
OF
THE
CONDITIONAL
VARIANCE
OF
GARCH
PROCESSES
96
5.1
SOME
PROPERTIES
OF
GARCH
PROCESSES
.
96
5.2
THE
TARGET
PROCESS
.
98
5.3
A
UNIVARIATE
EWMA
CHART
BASED
ON
THE
MAHALANOBIS
DISTANCEL04
5.4
A
MULTIVARIATE
EWMA
CHART
.
107
6
CONCLUSIONS
AND
FUTURE
RESEARCH
119
A
ADDITIONAL
TABLES
122
A.L
ADDITIONAL
TABLES
FOR
SECTION
4.4.1
.
122
A.
2
ADDITIONAL
TABLES
FOR
SECTION
4.4.2
.
133
II |
| any_adam_object | 1 |
| author | Rosołowski, Maciej 1974- |
| author_GND | (DE-588)128957603 |
| author_facet | Rosołowski, Maciej 1974- |
| author_role | aut |
| author_sort | Rosołowski, Maciej 1974- |
| author_variant | m r mr |
| building | Verbundindex |
| bvnumber | BV019706846 |
| classification_rvk | SK 850 |
| ctrlnum | (OCoLC)254208017 (DE-599)BVBBV019706846 |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV019706846 |
| illustrated | Illustrated |
| indexdate | 2024-08-16T01:01:02Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013034303 |
| oclc_num | 254208017 |
| open_access_boolean | |
| owner | DE-12 DE-521 DE-384 |
| owner_facet | DE-12 DE-521 DE-384 |
| physical | II, 139 S. graph. Darst. 30 cm |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| record_format | marc |
| spelling | Rosołowski, Maciej 1974- Verfasser (DE-588)128957603 aut Control charts for the mean and the autocovariances of financial time series von Maciej Rosołowski 2003 II, 139 S. graph. Darst. 30 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt (Oder), Europa-Univ., Diss., 2003 Kapitalmarkttheorie - Zeitreihenanalyse - GARCH-Prozess - Qualitätsregelkarte Qualitätsregelkarte (DE-588)4032320-1 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkttheorie (DE-588)4137411-3 s Zeitreihenanalyse (DE-588)4067486-1 s GARCH-Prozess (DE-588)4346436-1 s Qualitätsregelkarte (DE-588)4032320-1 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013034303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rosołowski, Maciej 1974- Control charts for the mean and the autocovariances of financial time series Kapitalmarkttheorie - Zeitreihenanalyse - GARCH-Prozess - Qualitätsregelkarte Qualitätsregelkarte (DE-588)4032320-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4032320-1 (DE-588)4137411-3 (DE-588)4346436-1 (DE-588)4067486-1 (DE-588)4113937-9 |
| title | Control charts for the mean and the autocovariances of financial time series |
| title_auth | Control charts for the mean and the autocovariances of financial time series |
| title_exact_search | Control charts for the mean and the autocovariances of financial time series |
| title_full | Control charts for the mean and the autocovariances of financial time series von Maciej Rosołowski |
| title_fullStr | Control charts for the mean and the autocovariances of financial time series von Maciej Rosołowski |
| title_full_unstemmed | Control charts for the mean and the autocovariances of financial time series von Maciej Rosołowski |
| title_short | Control charts for the mean and the autocovariances of financial time series |
| title_sort | control charts for the mean and the autocovariances of financial time series |
| topic | Kapitalmarkttheorie - Zeitreihenanalyse - GARCH-Prozess - Qualitätsregelkarte Qualitätsregelkarte (DE-588)4032320-1 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Kapitalmarkttheorie - Zeitreihenanalyse - GARCH-Prozess - Qualitätsregelkarte Qualitätsregelkarte Kapitalmarkttheorie GARCH-Prozess Zeitreihenanalyse Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013034303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT rosołowskimaciej controlchartsforthemeanandtheautocovariancesoffinancialtimeseries |