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)

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