Usage of control charts for time series analysis in financial management

Martin Kovářík, Libor Sarga and Petr Klímek

Journal of Business Economics and Management, 2015, vol. 16, issue 1, 138-158

Abstract: We will deal with corporate financial proceeding using statistical process control, specifically time series control charts. The article outlines intersection of two disciplines, namely econometrics and statistical process control. Theoretical part discusses methodology of time series control charts, and in research part, the methodology is demonstrated on two case studies. The first focuses on analysis of Slovak currency from the perspective of its usefulness for generating profits through time series control charts. The second involves regulation of financial flows for a heteroskedastic financial process by EWMA and ARIMA control charts. We use Box-Jenkins methodology to find models of time series of annual Argentinian Gross Domestic Product available as a basic index from 1951-1998. We demonstrate the versatility of control charts not only in manufacturing but also in managing financial stability of cash flows. Specifically, we show their sensitivity in detecting even small shifts in mean which may indicate financial instability. This analytical approach is widely applicable and therefore of theoretical and practical interest.

Date: 2015
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.3846/16111699.2012.732106 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jbemgt:v:16:y:2015:i:1:p:138-158

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TBEM20

DOI: 10.3846/16111699.2012.732106

Access Statistics for this article

Journal of Business Economics and Management is currently edited by Izolda Joksiene, Romualdas Ginevicius and Ieva Meidute

More articles in Journal of Business Economics and Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().