This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The observation equation relates the integrated volatility to its measures such as the realized volatility or bipower...

A portfolio investor requires statistical tools for the timely detection of changes in the optimal portfolio composition. Several multivariate cumulative sum (CUSUM) control charts are proposed for the purpose of monitoring optimal portfolio weights. The ability of the CUSUM schemes to detect...