On a CAPM monitoring based on the EWMA process control

Bakhodir Ergashev

No 283, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: CAPM; EWMA; Statistical process control; asymptotic expansions (search for similar items in EconPapers)
JEL-codes: C44 G11 (search for similar items in EconPapers)
Date: 2003-08-01
New Economics Papers: this item is included in nep-cfn and nep-fin
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