CONTENTS ix
13 Sequential Procedures for Monitoring Covariances
of Asset Returns 241
Olha Bodnar
13.1 Introduction 241
13.2 Covariance structure of asset returns and optimal
portfolio weights 243
13.3 Multivariate statistical surveillance 246
13.4 Simultaneous statistical surveillance 251
13.5 A comparison of the multivariate and simultaneous
control charts 253
13.6 Conclusion 258
14 An Empirical Study of Time-Varying Return
Correlations and the Efficient Set of Portfolios 265
Thadavillil Jithendranathan
14.1 Introduction 265
14.2 Empirical Methodology and Data 267
14.3 Results 270
14.4 Conclusion 276
15 The Derivation of the NPV Probability Distribution
of Risky Investments with Autoregressive Cash Flows 278
Jean-Paul Paquin, Annick Lambert and Alain Charbonneau
15.1 Introduction 278
15.2 Systematic risk and the perfect economy 280
15.3 Total risk and the real economy 282
15.4 The NPV probability distribution and the CLT: theoretical
results 285
15.5 The NPV probability distribution and the CLT: simulation
models and statistical tests 288
15.6 The NPV probability distribution and the CLT:
simulation results 289
15.7 Conclusion 293
16 Have Volatility Transmission Patterns between
the USA and Spain Changed after September 11? 303
Helena Chuliá, Francisco J. Climent, Pilar Soriano and Hipòlit Torró
16.1 Introduction 303
16.2 Data 305
