← All authors Wolfgang Schmid European University Viadrina (from arXiv:2308.13061, 2023) · ORCID · OpenAlex
107 papers in scope · 106 published · 2 on the econ.EM arXiv · 2,199 citations · h-index 25 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Philipp Otto Süleyman Taşpınar Osman Doğan Raffaele Mattera Zhu Ke Fukang Zhu Bing Su Fayçal Djebari Khelifa Mazouz Kahina Mehidi Anil K. Bera Matthias Eckardt Graziano Moramarco Giuseppe Cavaliere Andrea Bucci Matteo Barigozzi Kyle Colangelo Yannis Bilias Susan Athey Rong Chen Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 107)
Monitoring time dependent image processes for detecting shifts in pixel intensities
published 2025 · Computational Statistics · 1 citations
with Yarema Okhrin, Vasil Petruk
Combining portfolio rules to improve prediction of global minimum variance portfolio weights
published 2025 · European Journal of Finance · 3 citations
with Vasyl Golosnoy, Bastian Gribisch, Miriam Isabel Seifert
A control chart for monitoring image processes based on convolutional neural networks
published 2024 · Statistica Neerlandica · 5 citations
with Yarema Okhrin, Ivan Semeniuk
published 2024 · Journal of Economic Surveys · 9 citations · first circulated 2023
Control charts for high-dimensional time series with estimated in-control parameters
published 2024 · Sequential Analysis · 5 citations
with Rostyslav Bodnar, Taras Bodnar
Multi-period power utility optimization under stock return predictability
published 2023 · Computational Management Science · 2 citations
with Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya
Control charts for measurement error models
published 2022 · AStA Advances in Statistical Analysis · 4 citations
with Vasyl Golosnoy, Benno Hildebrandt, Steffen Köhler, Miriam Isabel Seifert
A general framework for spatial GARCH models
published 2022 · Statistical Papers · 11 citations
Sequential monitoring of high‐dimensional time series
published 2022 · Scandinavian Journal of Statistics · 8 citations
with Rostyslav Bodnar, Taras Bodnar
working paper 2021 · arXiv
Testing for parameter changes in linear state space models
published 2021 · Applied Stochastic Models in Business and Industry · 3 citations
with Vasyl Golosnoy, Steffen Köhler, Miriam Isabel Seifert
New Approaches for Monitoring Image Data
published 2020 · IEEE Transactions on Image Processing · 15 citations
with Yarema Okhrin, Ivan Semeniuk
Statistical Inference for the Expected Utility Portfolio in High Dimensions
published 2020 · IEEE Transactions on Signal Processing · 23 citations
with Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
published 2020 · Quantitative Finance · 44 citations · first circulated 2018
with David Bauder, Taras Bodnar, Nestor Parolya
Misleading signals in joint schemes for the mean vector and covariance matrix
published 2020 · Quality and Reliability Engineering International · 2 citations
with Manuel Cabral Morais, Patrícia Ferreira Ramos, Taras Lazariv, António Pacheco
Bayesian inference of the multi-period optimal portfolio for an exponential utility
published 2019 · Journal of Multivariate Analysis · 3 citations
with David Bauder, Taras Bodnar, Nestor Parolya
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
published 2019 · IEEE Transactions on Signal Processing · 31 citations · first circulated 2017
with Taras Bodnar, Solomiia Dmytriv, Nestor Parolya
Stochastic properties of spatial and spatiotemporal ARCH models
published 2019 · Statistical Papers · 15 citations
Bayesian estimation of the efficient frontier
published 2018 · Scandinavian Journal of Statistics · 17 citations
with David Bauder, Rostyslav Bodnar, Taras Bodnar
Statistical inferences for realized portfolio weights
published 2018 · Econometrics and Statistics · 16 citations
with Vasyl Golosnoy, Miriam Isabel Seifert, Taras Lazariv
Discussion of “Statistical methods for network surveillance” by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson
published 2018 · Applied Stochastic Models in Business and Industry · 1 citations
Comparison of joint control schemes for multivariate normal i.i.d. output
published 2018 · AStA Advances in Statistical Analysis · 2 citations
with Manuel Cabral Morais, Patrícia Ferreira Ramos, Taras Lazariv, António Pacheco, Ivan Semeniuk
Surveillance of non-stationary processes
published 2018 · AStA Advances in Statistical Analysis · 6 citations
with Taras Lazariv
GARCH processes and the phenomenon of misleading and unambiguous signals
published 2018 · Applied Stochastic Models in Business and Industry · 2 citations
with Beatriz Sousa, Manuel Cabral Morais, Yarema Okhrin
Estimation of the global minimum variance portfolio in high dimensions
published 2017 · European Journal of Operational Research · 18 citations
with Taras Bodnar, Nestor Parolya
Monitoring means and covariances of multivariate non linear time series with heavy tails
published 2017 · Communication in Statistics-Theory and Methods · 7 citations
with Robert Garthoff
A new high-dimensional time series approach for wind speed, wind direction and air pressure forecasting
published 2017 · Energy · 56 citations
with Daniel Ambach
CUSUM control schemes for monitoring the covariance matrix of multivariate time series
published 2016 · Statistics · 13 citations
with Olha Bodnar
Spatiotemporal analysis of German real-estate prices
published 2016 · The Annals of Regional Science · 20 citations
Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models
published 2016 · Biometrical Journal · 9 citations
Some Recent Results and Open Problems on Sets of Lengths of Krull Monoids with Finite Class Group
published 2016 · Springer proceedings in mathematics & statistics · 28 citations · first circulated 2015
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
published 2016 · Operations research proceedings
with Taras Bodnar, Nestor Parolya
Spatio-temporal statistical analysis of the carbon budget of the terrestrial ecosystem
published 2015 · Statistical Methods & Applications · 6 citations
with Patrick Vetter, Reimund Schwarze
EWMA control charts for detecting changes in the mean of a long-memory process
published 2015 · Metrika · 25 citations
with Liubov Rabyk
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
published 2015 · European Journal of Operational Research · 39 citations · first circulated 2012
with Taras Bodnar, Nestor Parolya
Behavior of EWMA type control charts for small smoothing parameters
published 2015 · Computational Statistics & Data Analysis · 9 citations
with Taras Lazariv, Yarema Okhrin
On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output
published 2015 · Statistical Papers · 6 citations
with Patrícia Ferreira Ramos, Manuel Cabral Morais, António Pacheco
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
published 2015 · Annals of Operations Research · 23 citations · first circulated 2012
with Taras Bodnar, Nestor Parolya
Periodic and long range dependent models for high frequency wind speed data
published 2015 · Energy · 19 citations
with Daniel Ambach
Discussion on “Recent Advances in Process Monitoring: Nonparametric and Variable-Selection Methods for Phase I and Phase II”
published 2014 · Quality Engineering · 4 citations
Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
published 2014 · Communication in Statistics-Theory and Methods · 1 citations
with Rostyslav Bodnar, Taras Bodnar
Quality surveillance with EWMA control charts based on exact control limits
published 2014 · Statistical Papers · 5 citations
with Manuel Cabral Morais, Yarema Okhrin
Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series
published 2013 · AStA Advances in Statistical Analysis · 12 citations
with Robert Garthoff, Iryna Okhrin
Monitoring the mean of multivariate financial time series
published 2013 · Applied Stochastic Models in Business and Industry · 15 citations
with Robert Garthoff, Vasyl Golosnoy
On control charts for monitoring the variance of a time series
published 2013 · Journal of Statistical Planning and Inference · 5 citations · first circulated 2012
with Taras Lazariv, Svitlana Zabolotska, Taras Lazriv
Stochastic Ordering in the Qualitative Assessment of the Performance of Simultaneous Schemes for Bivariate Processes
published 2013 · Sequential Analysis · 4 citations
with Patrícia Ferreira Ramos, Manuel Cabral Morais, António Pacheco
On the equivalence of quadratic optimization problems commonly used in portfolio theory
published 2013 · European Journal of Operational Research · 33 citations · first circulated 2012
with Taras Bodnar, Nestor Parolya
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
published 2013 · Metrika · 16 citations
with Taras Bodnar, Taras Zabolotskyy
Properties of hierarchical Archimedean copulas
published 2013 · Statistics & Risk Modeling · 61 citations · first circulated 2009
Comparison of some optimization problems in portfolio theory
published 2013 · European Journal of Operational Research
with Nestor Parolya, Taras Bodnar
no link
On the structure and estimation of hierarchical Archimedean copulas
published 2012 · Journal of Econometrics · 169 citations
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
published 2012 · Statistics & Risk Modeling · 25 citations
with Taras Bodnar, Taras Zabolotskyy
Statistical Surveillance of Volatility Forecasting Models
published 2011 · Journal of Financial Econometrics · 12 citations
with Vasyl Golosnoy, Iryna Okhrin
On the exact distribution of the estimated expected utility portfolio weights: Theory and applications
published 2011 · Statistics & Risk Modeling · 20 citations
with Taras Bodnar
CUSUM charts for monitoring the mean of a multivariate Gaussian process
published 2011 · Journal of Statistical Planning and Inference · 27 citations
with Olha Bodnar
CUSUM control charts for monitoring optimal portfolio weights
published 2011 · Computational Statistics & Data Analysis
with Sergiy Ragulin, Vasyl Golosnoy
Misleading Signals in Simultaneous Residual Schemes for the Mean and Variance of a Stationary Process
published 2009 · Communication in Statistics-Theory and Methods · 14 citations
with Sven Knoth, Manuel Cabral Morais, António Pacheco
Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
published 2009 · Sequential Analysis · 3 citations
New characteristics for portfolio surveillance
published 2009 · Statistics · 7 citations
with Vasyl Golosnoy, Iryna Okhrin
Estimation of optimal portfolio compositions for Gaussian returns
published 2009 · Statistics & Decisions · 54 citations
with Taras Bodnar
Multivariate CUSUM chart: properties and enhancements
published 2009 · AStA Advances in Statistical Analysis · 25 citations
with Vasyl Golosnoy, Sergiy Ragulin
Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
published 2008 · Sequential Analysis
with Sven Knoth
Econometrical analysis of the sample efficient frontier
published 2008 · European Journal of Finance · 86 citations
with Taras Bodnar
EWMA Charts for Multivariate Output: Some Stochastic Ordering Results
published 2008 · Communication in Statistics-Theory and Methods · 4 citations
with Manuel Cabral Morais, Yarema Okhrin, António Pacheco
ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
published 2008 · International Journal of Theoretical and Applied Finance · 23 citations
with Yarema Okhrin
On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
published 2008 · AStA Advances in Statistical Analysis · 20 citations
with Taras Zabolotskyy
Asset allocation with distorted beliefs and transaction costs
published 2008 · European Journal of Operational Research · 15 citations
with Roman Kozhan
Statistical inference of the efficient frontier for dependent asset returns
published 2007 · Statistical Papers · 6 citations
with Taras Bodnar, Taras Zabolotskyy
Surveillance of the mean behavior of multivariate time series
published 2007 · Statistica Neerlandica · 30 citations
with Olha Bodnar
Comparison of different estimation techniques for portfolio selection
published 2007 · AStA Advances in Statistical Analysis · 21 citations
with Yarema Okhrin
EWMA Control Charts for Monitoring Optimal Portfolio Weights
published 2007 · Sequential Analysis · 64 citations
with Vasyl Golosnoy
Guest Editorial: Eighty Years of Control Charts
published 2007 · Sequential Analysis · 8 citations
A test for the weights of the global minimum variance portfolio in an elliptical model
published 2007 · Metrika · 69 citations
with Taras Bodnar
The distribution of the sample variance of the global minimum variance portfolio in elliptical models
published 2007 · Statistics · 21 citations
with Taras Bodnar
Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich
published 2007 · Sequential Analysis · 1 citations
with Yarema Okhrin
EWNA charts for monitoring the mean and the autocovariances of stationary processes
published 2006 · Statistical Papers · 8 citations
with Maciej Rosołowski
Distributional properties of portfolio weights
published 2005 · Journal of Econometrics · 223 citations
with Yarema Okhrin
Surveillance of the covariance matrix of multivariate nonlinear time series
published 2005 · Statistics · 17 citations
with Przemysław śliwa
Monitoring the cross-covariances of a multivariate time series
published 2005 · Metrika · 32 citations
with Przemysław śliwa
Multivariate control charts based on a projection approach
published 2005 · Allgemeines Statistisches Archiv · 12 citations
with Olha Bodnar
Discussion on “Likelihood Ratio Identities and Their Applications to Sequential Analysis” by Tze L. Lai
published 2004 · Sequential Analysis
Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
published 2004 · Sequential Analysis · 26 citations
with Dobromir Tzotchev
EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
published 2003 · Sequential Analysis · 23 citations
with Maciej Rosołowski
Tail behaviour of a general family of control charts
published 2003 · Statistics & Decisions · 2 citations
with Yarema Okhrin
Monitoring the mean and the variance of a stationary process
published 2002 · Statistica Neerlandica · 38 citations
with Sven Knoth
SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
published 2001 · Sequential Analysis · 26 citations
with Stefan Schipper
Control charts for GARCH processes
published 2001 · Nonlinear Analysis · 13 citations
with Stefan Schipper
On the Distributional Properties of GARCH Processes
published 2001 · Journal of Time Series Analysis · 10 citations
with M. Pawlak
Sequential control of non-stationary processes by nonparametric kernel control charts
published 2000 · Allgemeines Statistisches Archiv · 1 citations
with Ansgar Steland
The influence of parameter estimation on the ARL of Shewhart type charts for time series
published 2000 · Statistical Papers · 52 citations
with Holger Kramer
On the Joint Distribution of a Quadratic and a Linear Form in Normal Variables
published 2000 · Journal of Multivariate Analysis · 6 citations
with Alexander Schöne
On the run length of the EWMA scheme: a monotonicity result for normal variables
published 1999 · Journal of Statistical Planning and Inference · 11 citations
with Alexander Schöne, Sven Knoth
Comments on Zhang(
published 1998 · Technometrics · 1 citations
Comments on Zhang (1998)
published 1998 · Technometrics · 1 citations
Control charts for time series
published 1997 · Nonlinear Analysis · 40 citations
with Holger Kramer
CUSUM control schemes for Gaussian processes
published 1997 · Statistical Papers · 56 citations
Some properties of the EWMA control chart in the presence of autocorrelation
published 1997 · The Annals of Statistics · 69 citations
with Alexander Schöne
An outlier test for linear processes — II. Large contamination
published 1996 · Metrika · 1 citations
with Thomas Flak
AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO‐SIDED PREDICTOR
published 1996 · Journal of Time Series Analysis · 3 citations
On the run length of a Shewhart chart for correlated data
published 1995 · Statistical Papers · 103 citations
Robustness of the Standard Deviation and Other Measures of Dispersion
published 1994 · Biometrical Journal · 15 citations
with Josef Högel, Wilhelm Gaus
An outlier test for linear processes
published 1993 · Metrika · 3 citations
with Thomas Flak
Outliers in a multivariate autoregressive moving-average process
published 1990 · Stochastic Processes and their Applications
DISCUSSION OF A LR TEST FOR DETECTING OUTLIERS IN TIME SERIES DATA
published 1990 · Statistics & Risk Modeling · 5 citations
Über das Verhalten Einiger Ausreissertests bei Zeitreihen für Endliches Messdesign
published 1990 · Operations research proceedings
ASYMPTOTICAL BEHAVIOUR OF A TEST OF DISCORDANCY FOR AN INCREASING NUMBER OF OUTLIERS
published 1988 · Statistics & Risk Modeling · 2 citations
The Multiple Outlier Problem in Time Series Analysis
published 1986 · Australian Journal of Statistics · 14 citations
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