Robust monitoring of CAPM portfolio betas. II
DOI10.1016/J.JMVA.2014.07.016zbMATH Open1298.62180OpenAlexW4205844788MaRDI QIDQ458632FDOQ458632
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
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change-point detection\(M\)-estimatefunctional capital asset pricing modelportfolio betarobust monitoring
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)
Cites Work
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- Robust Statistics
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- Split invariance principles for stationary processes
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- Moment and probability bounds with quasi-superadditive structure for the maximum partial sum
- An Intertemporal Capital Asset Pricing Model
- Moment inequalities and the strong laws of large numbers
- A General Approach to the Strong Law of Large Numbers
- Robust monitoring of CAPM portfolio betas
- Sequentiel testing for the stability of high-frequency portfolio betas
- Realized beta: persistence and predictability
Cited In (2)
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