SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

DOI10.1017/S0266466611000673zbMath1245.91089OpenAlexW2025827268MaRDI QIDQ2909249

Lajos Horváth, Marie Hušková, Alexander Aue, Siegfried Hörmann, Josef G. Steinebach

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000673

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (21)

Detecting at‐Most‐m Changes in Linear Regression Models ⋮ Sequential change point detection in high dimensional time series ⋮ SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET ⋮ TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES ⋮ Adaptive Change Point Monitoring for High-Dimensional Data ⋮ Sequential testing for structural stability in approximate factor models ⋮ A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters ⋮ Robust monitoring of CAPM portfolio betas. II ⋮ An introduction to functional data analysis and a principal component approach for testing the equality of mean curves ⋮ Monitoring multivariate time series ⋮ Modified sequential change point procedures based on estimating functions ⋮ Sequential monitoring of portfolio betas ⋮ Sequential monitoring of the tail behavior of dependent data ⋮ A novel change-point approach for the detection of gas emission sources using remotely contained concentration data ⋮ Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions ⋮ Anomaly detection: a functional analysis perspective ⋮ A new approach for open‐end sequential change point monitoring ⋮ A FUNCTIONAL VERSION OF THE ARCH MODEL ⋮ Structural breaks in time series ⋮ Page's sequential procedure for change-point detection in time series regression ⋮ Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

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