Publikationen

Publikationen in Zeitschriften

• publizierte Artikel

  • Combining portfolio rules to improve prediction of global minimum variance portfolio weights.
    Zur Publikation eingereicht.
  • Spatial averaging of VAR processes for image analysis (mit Y. Okhrin und V. Petruk).
    Zur Publikation eingereicht.
  • A simple powerful test for global minimum variance portfolio weights, Erscheint in Journal of Business & Economic Statistics (with V. Golosnoy, M. Seifert and J. Vogler).
  • Monitoring time dependent image processes, Erscheint in Econometrics and Statistics (with Y. Okhrin and V. Petruk).
  • A control chart for monitoring image processes based on convolutional neural networks (mit Y. Okhrin und I. Semeniuk).
    Statistica Neerlandica, https://doi.org/10.1111/stan.12366, 2024.
  • Spatial and spatiotemporal volatility models: a review (with P. Otto, O. Dogan, S. Taspinar and A. Bera).
  • Journal of Economic Surveys, https://doi.org/10.1111/joes.12643, 2024.
  • Control charts for high-dimensional time series with estimated in-control parameter, Sequential Analysis, 43,1, 103-129, 2023 (with R. Bodnar and T. Bodnar).
  • Multi-period power utility optimization under stock return predictability, Computational Management Science, 20, 4: 1-27, 2023 (with T. Bodnar, D. Ivasiuk and N. Parolya).
  • Control charts for measurement error models, AStA - Advances in Statistical Analysis, 107, 693-712, 2023 (with V. Golosnoy, B. Hildebrandt, S. Köhler and M. Seifert).
  • A general framework for spatial GARCH models, Statistical Papers, 64, 1721-1747, 2023 (with P. Otto).
  • Sequential monitoring of high-dimensional time series, Scandinavian Journal of Statistics, 50, 962-992, 2023 (with R. Bodnar and T. Bodnar).
  • Testing for parameter changes in linear state space models, Applied Stochastic Models in Business and Industry, 37, 1060-1079, 2021 (with V. Golosnoy, S. Köhler and I. Seifert).
  • Statistical inference for the expected utility portfolio in high dimensions, IEEE Transactions on Signal Processing, 69, 1-14, 2021 (with T. Bodnar, S. Dmytriv and N. Parolya).
  • Bayesian mean variance analysis: optimal portfolio selection under parameteruncertainty, Quantitative Finance, 21, 2, 221-242, 2021 (with D. Bauder, T. Bodnar and N. Parolya).

  • New approaches for monitoring image data, IEEE Transactions on Image Processing, 30, 921-933, 2020 (with Y. Okhrin and I. Semeniuk).

  • Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios, Mathematics and Financial Economics, 14, 675-698, 2020 (with T. Bodnar, D. Ivasiuk and N. Parolya).

  • Statistical Inferences for Realized Portfolio Weights, Econometrics and Statistics, 14, 49-62, 2020 (with V. Golosnoy, M. Seifert and T. Lazariv).

  • Misleading signals in joint schemes for the mean vector and covariance matrix, Quality and Reliability Engineering International, 1-10, 2020 (with M. Morais, P. Ramos, T. Lazariv and A. Pacheco). online first.

  • Bayesian inference of the multi-period optimal portfolio for an exponential utility, Journal of Multivariate Analysis, 175, 1-22, 2020 (with D. Bauder, T. Bodnar and N. Parolya).

  • Stochastic properties of spatial and spatiotemporal ARCH models, Statistical Papers, (2019) DOI: 10.1007/s00362-019-01106-x, online first (with R. Garthoff and P. Otto).

  • Tests for the weights of the global minimum variance portfolio in a high-dimensional setting, IEEE Transactions on Signal Processing, 67, 4479-4493, 2019 (with T. Bodnar, S. Dmytriv and N. Parolya).

  • Stochastic inequalities for the run length of the EWMA chart for long-memory processes, REVSTAT, 2019 (with Y. Okhrin).

  • Bayesian estimation of the efficient frontier, Scandinavian Journal of Statistics, 46, 802-830, 2018 (with D. Bauder, R. Bodnar and T. Bodnar).

  • Correction to: Comparison of joint control schemes for multivariate normal i.i.d. output, AStA - Advances in Statistical Analysis, 103, 289-303, 2019 (with M. Morais, P. Ramos, A. Pacheco and I. Semeniuk).

  • Comparison of joint control schemes for multivariate normal i.i.d. output, AStA - Advances in Statistical Analysis, 103, 257-287, 2019 (with M. Morais, P. Ramos and A. Pacheco).

  • Surveillance of non-stationary processes, AStA - Advances in Statistical Analysis, 103, 305-331, 2019 (with T. Lazariv).

  • GARCH processes and the phenomenon of misleading and unambiguous signals, Applied Stochastic Models in Business and Industry, 34, 667-681, 2018 (with B. Sousa, M. Morais and Y. Okhrin).

  • Generalized spatial and spatiotemporal autoregressive conditional heteroscedasticity, Spatial Statistics, 26, 125-145, 2018 (with P. Otto and R. Garthoff).

  • Discussion of "Statistical methods for network surveillance" by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson, Applied Stochastic Models in Business and Industry, 34, 452-456, 2018 (with P. Otto).

  • Spatiotemporal analysis of German real estate prices, Annals of Regional Science, 60, 41-72, 2018 (with P. Otto).

  • Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, 266, 371-390, 2018 (with T. Bodnar and N. Parolya).

  • A new high-dimensional time series approach for wind speed, wind direction and air pressure forecasting, Energy, 135, 833-850, 2017 (with D. Ambach).

  • Monitoring means and covariance of multivariate nonlinear time series with heavy tails, Comminications in Statistics - Theory and Methods, 45, 3421-3440, 2016 (with R. Garthoff).

  • CUSUM control schemes for monitoring the covariance matrix of multivariate time series, Statistics, 51, 722-744, 2017 (with O. Bodnar).

  • Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, 266, 371-390, 2018 (with T. Bodnar and N. Parolya).

  • Detection of spatial change points in mean and covariances of multivariate simultaneous autoregressive models, Biometrical Journal, 58, 5, 1113-1137, 2016 (with P. Otto).

  • Spatiotemporal analysis of German real-estate prices, Annals of Regional Science, 60, 41-72, 2016 (with P. Otto).

  • Monitoring means and covariances of multivariate nonlinear time series with heavy tails, Communications in Statistics - Theory and Methods, 46, 21, 10394-10415, 2015 ( with R. Garthoff).

  • Multivariate autoregressive extreme value process and its application for modeling the time series properties of the daily asset prices, Communications in Statistics - Theory and Methods, 45, 12, 3421-3440, 2016 (with R. Bodnar and T. Bodnar).

  • Spatio-temporal statistical analysis of the carbon budget of the terrestrial ecosystem, Statistical Methods and Applications, 25, 143-161, 2016 (with P. Vetter and R. Schwarze).

  • EWMA control charts for detecting changes in the mean of a long-memory process, Metrika, 79, 267-301, 2016 (with L. Rabyk).

  • On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output, Statistical Papers , 57, 471-498, 2016 (with P. Ramos, M. Morais and A. Pacheco).

  • Control charts for multivariate nonlinear time series, REVSTAT, 131-144, 2015 (with R. Garthoff and I. Okhrin).

  • Quality surveillance with EWMA control charts based on exact control limits, Statistical Papers, 56, 863-885, 2015 (with M. Morais and Y. Okhrin).

  • Behavior of EWMA type charts for small smoothing parameter, Computational Statistics and Data Analysis, 89, 115-125, 2015 (with T. Lazariv and Y. Okhrin).

  • On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability, European Journal of Operational Research, 246, 528-542, 2015 (with T. Bodnar and N. Parolya).

  • A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, Annals of Operations Research, 229, 121-158, 2015 (with T. Bodnar and N. Parolya).

  • Periodic and Long Range Dependent Models for High Frequency Wind Speed Data, Energy, 82, 277-293, 2015 (with D. Ambach)

  • Discussion on "Recent advances in process monitoring: semi parametric and variable-selection methods for Phase I and Phase II" by Giovanna Capizzi, Quality Engineering, 27, 68-72, 2015.

  • On the impact of falsely assuming i.i.d output in the probability of misleading signals, REVSTAT, 12, 221-245, 2014. (with M. Morais, P. Ramos and A. Pacheco).

  • Effcient approximation of the spatial covariance function for large datasets - analysis of atmospheric CO2 concentrations, Journal of Environmental Statistics, 6, 2014 (with P. Vetter and R. Schwarze).

  • Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, ASTA - Advances in Statistical Analysis, 98, 225-255, 2014 (with R. Garthoff and I. Okhrin).

  • Monitoring the mean of multivariate financial time series, Applied Stochastic Models in Business and Industry, 30, 328-340, 2014 (with R. Garthoff and V. Golosnoy).

  • Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data, Metrika, 76, 1105-1134, 2013 (with T. Bodnar and T. Zabolotskyy).

  • On control charts for monitoring the variance of a time series, Journal of Statistical Planning and Inference, 143, 1512-1526, 2013 (with T. Lazariv and S. Zabolotska).

  • Comparison of some optimization problems in portfolio theory, European Journal of Operational Research, 229, 637-644, 2013 (with T. Bodnar and N. Parolya).

  • Stochastic ordering in the qualitative assesment of the performance of simultaneous schemes for bivariate processes, Sequential Analysis, 32, 214-229, 2013 (with P. Ramos, M .Morais and A. Pacheco).

  • On the structure and estimation of hierarchical Archimedian copulas, Journal of Econometrics, 173, 189-204, 2013 (with O. Okhrin and Y. Okhrin).

  • Properties of hierarchical Archimedian copulas,  Statistics & Risk Modeling, 1001-1034, 2013 (with O. Okhrin and Y. Okhrin).

  • Statistical surveillance of volatility forecasting models, Journal of Financial Econometrics, 10, 513-543, 2012 (with V. Golosnoy and I. Okhrin).

  • Minimum VaR and minimum CVaR optimal portfolios: estimators, confidence regions, and tests, Statistics & Risk Modeling, 29, 281-313, 2012 (with T. Bodnar and T. Zabolotskyy).

  • Limit properties of EWMA charts for stationary processes, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 69-83, 2012 (with M. Morais and Y. Okhrin).

  • Assessing the impact of autocorrelation in misleading signals in simultaneous residual schemes for the process mean and variance: a stochastic ordering approach, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 35-52, 2012 (with P. Ramos, M. Morais and A. Pacheco).

  • CUSUM charts for monitoring the mean of a Gaussian process, Journal of Statistical Planning and Inference, 141, 2055-2070, 2011 (with O. Bodnar).

  • On the exact distribution of the estimated EU portfolio weights: theory and applications, Statistics & Risk Modeling, 28, 319-342, 2011 (with T. Bodnar).

  • CUSUM charts for monitoring optimal portfolio weights, Computational Statistics and Data Analysis, 55, 2991-3009, 2011 (with V. Golosnoy and S. Ragulin).

  • Nonlinear locally weighted kriging prediction for spatio-temporal environmental processes, Environmetrics, 21, 365-381, 2010 (with O. Bodnar).

  • New characteristics for portfolio surveillance, Statistics, 44, 303-321 (with V. Golosnoy and I. Okhrin), 2010.

  • Multivariate CUSUM chart: properties and enhancements, AStA - Advances in Statistical Analysis, 93, 263-279, 2009 (with V. Golosnoy and S. Ragulin).

  • Discussion on "Optimal Sequential Surveillance for Finance, Public Health, and Other Areas" by M. Frisen, Sequential Analysis, 28, 375-380, 2009 (with O. Bodnar).

  • Misleading signals in simultaneous residual schemes for the mean and the variance of a stationary process, Communications in Statistics - Theory and Methods, 38, 2923-2943, 2009 (with S. Knoth, M. C. Morais and A. Pacheco).

  • Econometrical analysis of the sample efficient frontier, The European Journal of Finance, 15, 317-335, 2009 (with T. Bodnar).

  • Statistical inference of the efficient frontier for dependent asset returns, Statistical Papers, 50, 593-604, 2009 (with T. Bodnar and T. Zabolotskyy).

  • Asset allocation with distorted probability and transaction costs, European Journal of Operational Research,  194, 236-249, 2009 (with R. Kozhan).

  • Estimation of optimal portfolio compositions for Gaussian returns, Statistics & Decisions, 26, 179-201, 2008 (with T. Bodnar).

  • Comparing air quality among Italy, Germany, and Poland using BC indexes, Atmospheric Environment, 42, 8412-8421, 2008 (with O. Bodnar, M. Cameletti and A. Fasso).

  • Discussion on "Is Average Run Length to False Alarm always an Informative Criterion?" by Y. Mei, Sequential Analysis, 27, 392-395, 2008 (with S. Knoth).

  • EWMA charts for multivariate output: some stochastic ordering results, Communications in Statistics - Theory and Methods, 37, 2653-2663, 2008  (with M.C. Morais, Y. Okhrin and A. Pacheco).

  • Estimation of the optimal portfolio weights, International Journal of Theoretical and Applied Finance, 11, 249-276, 2008 (with Y. Okhrin).

  • On the existence of unbiasedestimators for the portfolio weights, AStA - Advances in Statistical Analysis, 92, 29-34, 2007 (with T. Zabolotskyy).

  • A test for the weights of the global minimum variance portfolio in an elliptical model,  Metrika, 67, 127-143, 2008 (with T. Bodnar).

  • Surveillance of the mean behaviour of multivariate time series, Statistica Neerlandica, 61, p.383-406, 2007 (with O. Bodnar).

  • On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in sigma, Statistics & Decisions, 24, p.397-413, 2007 (with M.C. Morais, Y. Okhrin and A. Pacheco).

  • Comparison of different estimation techniques for portfolio selection, Advances in Statistical Analysis (AStA) 91, p.109-127, 2007 (with Y. Okhrin).

  • EWMA control charts for monitoring optimal portfolio weights, Sequential Analysis, 26, p.195-224, 2007 (with V. Golosnoy).

  • The distribution of the sample variance of the global minimum variance portfolio in elliptical models, Statistics, 41, p.65-75, 2007 (with T. Bodnar).

  • Eighty years of control charts, Sequential Analysis 26, p.117-122, 2007.

  • https://www.tandfonline.com/doi/full/10.1080/07474940701246943, Sequential Analysis, 26, 53-55, 2007 (with Y. Okhrin).

  • Distributional properties of portfolio weights, Journal of Econometrics, 134, p.235-256, 2006 (with Y. Okhrin).

  • EWMA charts for monitoring the mean and autocovariances of stationary processes, Statistical Papers, 47, p.595-630, 2006 (with M. Rosolowski).

  • Multivariate control charts based on a projection approach, Journal of the German Statistical Society (ASTA), 89, p.75-93, 2005 (with O. Bodnar).

  • Surveillance of the covariance matrix of multivariate nonlinear time series, Statistics, 39, p.221-246, 2005 (with P. Sliwa).

  • Monitoring the cross-covariances of a multivariate time series, Metrika, 61, p.89-115, 2005 (with P. Sliwa).

  • Control charts for time series: a review, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.210-236, 2004 (with S. Knoth).

  • Statistical surveillance of the parameters of a one-factor Cox-Ingersoll-Ross model, Sequential Analysis, 23, p.379-412, 2004 (with D. Tzotchev).

  • EWMA charts for monitoring the mean and the autocovariances of stationary Gaussian processes, Sequential Analysis, 22, p.257-285, 2003 (with M. Rosolowski).

  • Tail behaviour of a general family of control charts, Statistics & Decisions, 21, p.77-90, 2003 (with Y. Okhrin).

  • Monitoring the mean and the variance of a stationary process, Statistica Neerlandica, 56, p.77-100, 2002 (with S. Knoth).

  • Sequential methods for detecting changes in the variance of economic time series, Sequential Analysis, 20, p.235-262, 2001 (with S. Schipper).

  • Control charts for GARCH processes, Nonlinear Analysis, 47, p.2049-2060, 2001 (with S. Schipper).

  • Simultaneous Shewhart-type charts for the mean and the variance of a time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.61-79, 2001 (with S. Knoth and A. Schöne).

  • On distributional properties of GARCH processes, Journal of Time Series Analysis, 22, p.339-352, 2001 (with M. Pawlak).

  • Sequential control of non-stationary processes by kernel control charts, Allgemeines Statistisches Archiv, 84, p.315-336, 2000 (with A. Steland).

  • On the joint distribution of a quadratic and a linear form in normal variables, Journal of Multivariate Analysis, 72, p.163-182, 2000 (with A. Schöne).

  • The influence of parameter estimation on the ARL of Shewhart-type charts for time series, Statistical Papers, 41, p.173-196, 2000 (with H. Kramer).

  • On the run length of the EWMA scheme - a monotonicity result for normal variables, Journal of Statistical Planning and Inference, 79, p.289-297, 1999 (with A. Schöne and S. Knoth).

  • Monitoring changes in GARCH models, Allgemeines Statistisches Archiv, 83, p.281-307, 1999 (with T. Severin).

  • On the robustness of Shewhart type charts, Economic Quality Control, 13, p.107-115, 1998 (with H. Kramer).

  • Statistical process control and its application in finance, Contributions to Economics: Risk Measurement, Econometrics and Neural Networks, Physica-Verlag, Hei, p.83-104, 1998 (with T. Severin).

  • On the average delay of control schemes, Advances in Stochastic Models for Reliability, Quality and Safety, E. von Collani, J. Franz, U. Jens, p.341-360, 1998 (with H. Kramer).

  • The effects of autocorrelation on the R-chart and the S²-chart, Sankhyã, Ser. B, 59, p.229-255, 1997 (with R. Amin).

  • Zur Anwendung der Statistischen Prozesskontrolle in der Wertpapieranalyse, Solutions, 1, p.71-81, 1997 (with T. Severin).

  • EWMA charts for multivariate time series, Sequential Analysis, 16, p.131-154, 1997 (with H. Kramer).

  • Some properties of the EWMA control chart in the presence of data correlation, Annals of Statistics, 25, p.1277-1283, 1997 (with A. Schöne).

  • CUSUM control schemes for Gaussian processes, Statistical Papers, 38, p.191-217, 1997.
  • On EWMA charts for time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-T. Wilrich (Eds.), Physica-Verlag, Heidelb, p.115-137, 1997.
  • A comparison of several procedures for identifying outliers in contaminated ARMA processes, Computational Statistics, 11, p.175-195, 1996 (with T. Flak and R. Sigmund).
  • Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors, Finanzmarkt und Portfolio Management, 10, p.45-52, 1996 (with F. Herrmann and R. Zagst).
  • An outlier test for linear processes - II. Large contamination, Metrika, 43, p.31-42, 1996 (with T. Flak).
  • An outlier test for time series based on a 2-sided predictor, Journal of Time Series Analysis, 17, p.497-510, 1996.
  • Extreme sums of strictly stationary sequences of m-dependent variables, Sankhyã, Ser. A, 57, p.186-201, 1995 (with T. Flak).
  • On the run length of a Shewhart chart for correlated data, Statistical Papers, 36, p.111-130, 1995.
  • Robustness of the standard deviation and other measures of dispersion, Biometrical Journal, 36, p.411-427, 1994 (with W. Gaus and J. Högel).
  • An outlier test for linear processes, Metrika, 40, p.299-318, 1993 (with T. Flak).
  • An optimal decision rule for identifying outliers in time series, Österreichische Zeitschrift für Statistik und Informatik, 22, p.119-133, 1992.
  • How to locate outliers in a time series if a starting-block is present, Sankhyã, Ser. B, 53, p.359-383, 1991.
  • Discussion of a LR test for detecting outliers in time series data, Statistics & Decisions, 8, p.271-294, 1990.
  • Outliers in a multivariate autoregressive-moving average process, Stochastic Processes and their Applications, p.117-133, 1990.
  • Identification of a type I outlier in an autoregressive model, Statistics, 20, p.531-545, 1989.
  • Asymptotical behaviour of a test of discordancy for an increasing number of outliers, Statistics & Decisions, 6, p.245-260, 1988.
  • The multiple outlier problem in time series analysis, Australian Journal of Statistics, 28, p.400-413, 1986.