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Year of publication
Subject
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Theorie 2 Theory 2 sequential monitoring 2 ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Boundary function 1 Börsenkurs 1 Capital income 1 Change point analysis 1 Forecasting model 1 Group sequential monitoring 1 Kapitaleinkommen 1 Mathematics 1 Measurement 1 Messung 1 Nonparametric 1 Prognoseverfahren 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Science 1 Sequential monitoring 1 Share price 1 Statistical test 1 Statistischer Test 1 Stock market 1 Stock market price 1 Structural break 1 Structural breaks 1 Strukturbruch 1 Survival 1 Time series analysis 1 Two-sample test 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 3 Book / Working Paper 1 Other 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Article 1
Language
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English 3 Undetermined 2
Author
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Murray, Susan 2 Andrei, Adin-Cristian 1 Demetrescu, Matei 1 Dette, Holger 1 Gösmann, Josua 1 Hoga, Yannick 1 Kley, Tobias 1 Li, Hemei 1 Liu, Zhenya 1 Tsiatis, Anastasios A. 1 Xiao, Zhijie 1
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Institution
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Berkeley Electronic Press 1
Published in...
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International review of economics & finance : IREF 1 Journal of Time Series Analysis 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 The University of Michigan Department of Biostatistics Working Paper Series 1
Source
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ECONIS (ZBW) 2 BASE 1 EconStor 1 RePEc 1
Showing 1 - 5 of 5
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Sequential monitoring of stock market price changes
Li, Hemei; Liu, Zhenya; Xiao, Zhijie - In: International review of economics & finance : IREF 89 (2024) 1, pp. 156-172
Persistent link: https://www.econbiz.de/10014446420
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A new approach for open‐end sequential change point monitoring
Gösmann, Josua; Kley, Tobias; Dette, Holger - In: Journal of Time Series Analysis 42 (2021) 1, pp. 63-84
We propose a new sequential monitoring scheme for changes in the parameters of a multivariate time series. In contrast …
Persistent link: https://www.econbiz.de/10012428899
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Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
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Sequential Methods for Comparing Years of Life Saved in the Two-Sample Censored Data Problem
Murray, Susan; Tsiatis, Anastasios A. - 1999
This research develops nonparametric strategies for sequentially monitoring clinical trial data where detecting years of life saved is of interest. The recommended test statistic looks at integrated differences in survival estimates during the time frame of interest. In many practical...
Persistent link: https://www.econbiz.de/10009477553
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Asymptotic Results for Simultaneous Group Sequential Analysis of Rank-Based and Weighted Kaplan-Meier Tests with Paired Survival Data in the Presence of Censoring. Technical report
Andrei, Adin-Cristian; Murray, Susan - Berkeley Electronic Press - 2004
This research sequentially monitors paired survival differences using a new class of non-parametric tests based on functionals of standardized paired weighted log-rank (PWLR) and standardized paired weighted Kaplan-Meier (PWKM) tests. During a trial these tests may alternately assume the role of...
Persistent link: https://www.econbiz.de/10005246064
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