ausgewählte Publikationen
- Surveillance of the Covariance Matrix based on the Properties of the Singular Wishart Distribution, under revision in Computational Statistics and Data Analysis, 2008 (with T. Bodnar and Y. Okhrin).
- Sequential Surveillance of the Tangency Portfolio Weights, to appear in International Journal of Theoretical and Applied Finance, 2008.
- Application of the Generalized Likelihood Ratio Test for Detecting Drifts in Multivariate GARCH Processes, to appear in Communications in Statistics: Simulation and Computation, 2008.
- Comparing Air Quality Among Italy, Germany and Poland Using BC Indexes, to appear in Atmospheric Environment (with M. Cameletti, A. Fasso and W. Schmid).
- Unbiased Estimator of the Expected Quadratic Utility Portfolio, to appear in International Journal of Financial Economics and Econometrics, 2008 (with T. Bodnar).
- Nonlinear Locally Weighted Kriging Prediction for Spatio-Temporal Environmental Processes - in: D. Cocchi et al. (eds), Statistics for Spatio-Temporal Modelling, Alghero, Sardinia, 129 - 134, 2008 (with W. Schmid).
- Sequential Procedures for Monitoring Covariances of Asset Returns, Advances in Risk Management, G.N. Gregoriou (Ed.), Palgrave, London, 241 - 264, 2007.
- Surveillance of the Mean Behavior of Multivariate Time Series, Statistica Neerlandica, 61, 1 - 24, 2006 (with W.Schmid).
- CUSUM control schemes for multivariate time series, Frontiers of Statistical Process Control, Vol. 8., H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica, Heidelberg, p.55-73, 2006 (with W.Schmid).
- Multivariate control charts based on a projection approach, Journal of the German Statistical Society (ASTA), 89, p.75-94, (jetzt: Advances in Statistical Analysis) 2005 (with W.Schmid).
- CUSUM control schemes for multivariate time series, Intelligent Statistical Quality Control ISQC'04, P. Grzegorzewski et al. (Eds.), Warsaw, 2004 (with W.Schmid).
- The Formation of the Optimal Portfolio in the Transient Period, Prykladna statystyka. Finansova ta aktuarna matematyka, 2, p.120-123 (in Ukrainian), 2000 (with Y. I. Yelejko).
- Making Optimum Decision in the Transient Period - Formuvannya Rynkovoi Economiky v Ukraini, 5, 507 - 514 (in Ukrainian), (with T. Bodnar and Y. I. Yelejko).