Robust monitoring of CAPM portfolio betas. II

DOI10.1016/J.JMVA.2014.07.016MaRDI QIDQ458632zbMATH OpenOpenAlexFDO

Authors Ondřej Chochola, Marie Hušková, Zuzana Prášková, J. 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

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

Recommendations

• Robust monitoring of CAPM portfolio betas
• Sequentiel testing for the stability of high-frequency portfolio betas
• Sequential monitoring of portfolio betas
• Monitoring Structural Change
• Page's sequential procedure for change-point detection in time series regression

Cites work

• scientific article; zbMATH DE number 5713428 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A General Approach to the Strong Law of Large Numbers
• An Intertemporal Capital Asset Pricing Model
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference for functional data with applications
• Moment and probability bounds with quasi-superadditive structure for the maximum partial sum
• Moment inequalities and the strong laws of large numbers
• Realized beta: persistence and predictability
• Robust Statistics
• Robust monitoring of CAPM portfolio betas
• Sequentiel testing for the stability of high-frequency portfolio betas
• Split invariance principles for stationary processes
• Weakly dependent functional data

Cited in

(4)

• Sequentiel testing for the stability of high-frequency portfolio betas
• AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA
• Sequential monitoring of portfolio betas
• Robust monitoring of CAPM portfolio betas

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