Sequentiel testing for the stability of high-frequency portfolio betas
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Publication:2909249
DOI10.1017/S0266466611000673zbMATH Open1245.91089OpenAlexW2025827268MaRDI QIDQ2909249FDOQ2909249
Lajos Horváth, Marie Hušková, Alexander Aue, Siegfried Hörmann, J. 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
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cited In (21)
- Adaptive Change Point Monitoring for High-Dimensional Data
- Modified sequential change point procedures based on estimating functions
- SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET
- Detecting at‐Most‐m Changes in Linear Regression Models
- Sequential monitoring of the tail behavior of dependent data
- TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES
- An introduction to functional data analysis and a principal component approach for testing the equality of mean curves
- Sequential monitoring of portfolio betas
- A functional version of the ARCH model
- Structural breaks in time series
- Robust monitoring of CAPM portfolio betas. II
- Sequential change point detection in high dimensional time series
- 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
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- A new approach for open‐end sequential change point monitoring
- A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
- Sequential testing for structural stability in approximate factor models
- Anomaly detection: a functional analysis perspective
- Monitoring multivariate time series
- Page's sequential procedure for change-point detection in time series regression
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