Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122000737> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W3122000737 abstract "The volatility of asset returns are important in finance. Different likelihood based methods of statistical surveillance for detecting a change in the variance are evaluated. The differences are how the partial likelihood ratios are weighted. The full likelihood ratio, Shiryaev-Roberts, Shewhart and the CUSUM methods are derived in case of an independent and identically distributed Gaussian process. The behavior of the methods is studied both when there is no change and when the change occurs at different time points. The false alarms are controlled by the median run length. Differences and limiting equalities of the methods are shown. The performances when the process parameters for which the methods are optimized for differ from the true values of the parameters are evaluated. The methods are illustrated on a period of Standard and Poor’s 500 stock market index." @default.
- W3122000737 created "2021-02-01" @default.
- W3122000737 creator A5008706341 @default.
- W3122000737 date "2007-01-01" @default.
- W3122000737 modified "2023-09-26" @default.
- W3122000737 title "Evaluations of likelihood based surveillance of volatility" @default.
- W3122000737 hasPublicationYear "2007" @default.
- W3122000737 type Work @default.
- W3122000737 sameAs 3122000737 @default.
- W3122000737 citedByCount "0" @default.
- W3122000737 crossrefType "posted-content" @default.
- W3122000737 hasAuthorship W3122000737A5008706341 @default.
- W3122000737 hasConcept C105795698 @default.
- W3122000737 hasConcept C121955636 @default.
- W3122000737 hasConcept C122123141 @default.
- W3122000737 hasConcept C141513077 @default.
- W3122000737 hasConcept C149782125 @default.
- W3122000737 hasConcept C162324750 @default.
- W3122000737 hasConcept C178518018 @default.
- W3122000737 hasConcept C196083921 @default.
- W3122000737 hasConcept C33923547 @default.
- W3122000737 hasConcept C41008148 @default.
- W3122000737 hasConcept C91602232 @default.
- W3122000737 hasConcept C9483764 @default.
- W3122000737 hasConceptScore W3122000737C105795698 @default.
- W3122000737 hasConceptScore W3122000737C121955636 @default.
- W3122000737 hasConceptScore W3122000737C122123141 @default.
- W3122000737 hasConceptScore W3122000737C141513077 @default.
- W3122000737 hasConceptScore W3122000737C149782125 @default.
- W3122000737 hasConceptScore W3122000737C162324750 @default.
- W3122000737 hasConceptScore W3122000737C178518018 @default.
- W3122000737 hasConceptScore W3122000737C196083921 @default.
- W3122000737 hasConceptScore W3122000737C33923547 @default.
- W3122000737 hasConceptScore W3122000737C41008148 @default.
- W3122000737 hasConceptScore W3122000737C91602232 @default.
- W3122000737 hasConceptScore W3122000737C9483764 @default.
- W3122000737 hasLocation W31220007371 @default.
- W3122000737 hasOpenAccess W3122000737 @default.
- W3122000737 hasPrimaryLocation W31220007371 @default.
- W3122000737 hasRelatedWork W1950721392 @default.
- W3122000737 hasRelatedWork W1996466728 @default.
- W3122000737 hasRelatedWork W1999470346 @default.
- W3122000737 hasRelatedWork W2004698554 @default.
- W3122000737 hasRelatedWork W2056366299 @default.
- W3122000737 hasRelatedWork W2114970570 @default.
- W3122000737 hasRelatedWork W2143003731 @default.
- W3122000737 hasRelatedWork W2170193055 @default.
- W3122000737 hasRelatedWork W2239688222 @default.
- W3122000737 hasRelatedWork W2323764571 @default.
- W3122000737 hasRelatedWork W2346218562 @default.
- W3122000737 hasRelatedWork W2466892432 @default.
- W3122000737 hasRelatedWork W2584530951 @default.
- W3122000737 hasRelatedWork W2745327735 @default.
- W3122000737 hasRelatedWork W2890214269 @default.
- W3122000737 hasRelatedWork W3149356230 @default.
- W3122000737 hasRelatedWork W3160534314 @default.
- W3122000737 hasRelatedWork W332919724 @default.
- W3122000737 hasRelatedWork W597078041 @default.
- W3122000737 hasRelatedWork W829064412 @default.
- W3122000737 isParatext "false" @default.
- W3122000737 isRetracted "false" @default.
- W3122000737 magId "3122000737" @default.
- W3122000737 workType "article" @default.