Wolfgang Schmid

Europa-Universitaet Viadrina

Professor

Grosse Scharrnstr. 59

Department of Statistics

D-15230 Frankfurt (Oder)

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

619

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Testing Portfolio Efficiency Under Alternative Distributions

Number of pages: 21 Posted: 18 May 2004
Taras Bodnar and Wolfgang Schmid
Europa-Universitaet Viadrina and Europa-Universitaet Viadrina
Downloads 171 (237,044)

Abstract:

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elliptically contoured distribution, asset allocation, daily stock returns, heavy-tail distribution, modelling financial data, multivariate stable distribution

2.

Sequential Monitoring in Portfolio Management

Number of pages: 29 Posted: 18 May 2004
Olha Bodnar and Wolfgang Schmid
Europa-Universitaet Viadrina and Europa-Universitaet Viadrina
Downloads 166 (242,935)

Abstract:

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asset allocation, modelling financial data, multivariate control charts, financial application, elliptical contoured distribution, multivariate stable law

3.

Statistical Surveillance of Volatility Forecasting Models

Number of pages: 40 Posted: 07 Mar 2011
Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid
Ruhr University of Bochum, affiliation not provided to SSRN and Europa-Universitaet Viadrina
Downloads 160 (250,590)

Abstract:

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Control charts, Integrated volatility, Jumps, Realized volatility, State space model

4.

Statistical Inferences for Realized Portfolio Weights

Number of pages: 24 Posted: 04 Sep 2018
Ruhr University of Bochum, Europa-Universitaet Viadrina, Ruhr University of Bochum and European University Viadrina Frankfurt (Oder)
Downloads 122 (309,433)
Citation 2

Abstract:

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minimum variance portfolio, realized covariance matrix, structural change, control charts, tests for portfolio weights

5.

Sequential Control of Non-Stationary Processes by Nonparametric Kernel Control Charts

Posted: 19 Jan 2001
Wolfgang Schmid and Ansgar Steland
Europa-Universitaet Viadrina and Ruhr University of Bochum - Faculty of Mathematics

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