The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is...

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997...

In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM...

The Poisson distribution, in general remains sensitive to small departure of frequencies especially at the right tail of the distribution. In many situations it may happen that the Generalized Poisson Distribution (GPD) or a compound distribution provides a closer fit to a frequency distribution...

The adaptive EWMA (AEWMA) charts have been broadly perceived as an effective process monitoring instrument due to their capability to rapidly detect the parameter(s) shifts of diverse sizes. In this paper, a function based AEWMA control chart is designed to efficiently observe the stability of...

We carried out an Internet search of publicly available organization charts for the 2,000 largest companies according to Forbes 2019 ranking. We collected 913 organization charts of 648 companies, but only a fraction allowed reproduction. Although we do not have permission to make this visual...

The motivation behind Chart to Scalar is to unify stock charts and trading volume into a mathematical framework to better understand how the stock market works. This has applications such as measuring market impact; explaining how markets are inherently susceptible to crashes; demonstrating a...