Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...

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 studies nonparametric control charts to sequentially monitor dependent stochastic processes in continuous time with arbitrary but smooth drift functions m(t) to detect fast changes of m(t). Such methods are of particular interest when monitoring financial time series in order to...