Robust monitoring of CAPM portfolio betas. II

DOI10.1016/J.JMVA.2014.07.016zbMath1298.62180OpenAlexW4205844788MaRDI QIDQ458632

Zuzana Prášková, Marie Hušková, Ondřej Chochola, Josef G. Steinebach

Publication date: 8 October 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.07.016

zbMATH Keywords

change-point detection\(M\)-estimatefunctional capital asset pricing modelportfolio betarobust monitoring

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference for functional data with applications
• Split invariance principles for stationary processes
• Weakly dependent functional data
• Moment and probability bounds with quasi-superadditive structure for the maximum partial sum
• Robust monitoring of CAPM portfolio betas
• SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
• Realized Beta: Persistence and Predictability
• Moment inequalities and the strong laws of large numbers
• A General Approach to the Strong Law of Large Numbers
• An Intertemporal Capital Asset Pricing Model
• Robust Statistics
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