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Description
  • Some robust sequential procedures for the detection of structural breaks in the Capital Asset Pricing Model (CAPM) are proposed and studied. Most of the existing procedures for this model are based on ordinary least squares (OLS) estimates. Here we propose a class of cumulative sum (CUSUM)-type procedures based on M-estimates and partial weighted sums of M-residuals. The theoretical results are accompanied by a simulation study that compares the proposed procedures with those based on OLS estimates. An application to a real data set is also presented.
  • Some robust sequential procedures for the detection of structural breaks in the Capital Asset Pricing Model (CAPM) are proposed and studied. Most of the existing procedures for this model are based on ordinary least squares (OLS) estimates. Here we propose a class of cumulative sum (CUSUM)-type procedures based on M-estimates and partial weighted sums of M-residuals. The theoretical results are accompanied by a simulation study that compares the proposed procedures with those based on OLS estimates. An application to a real data set is also presented. (en)
Title
  • Robust monitoring of CAPM portfolio betas
  • Robust monitoring of CAPM portfolio betas (en)
skos:prefLabel
  • Robust monitoring of CAPM portfolio betas
  • Robust monitoring of CAPM portfolio betas (en)
skos:notation
  • RIV/00216208:11320/13:10146109!RIV14-MSM-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • V
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 103164
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/13:10146109
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Change-point detection; M-estimate; Portfolio beta; Capital asset pricing model; Robust monitoring (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [F01D78A929C8]
http://linked.open...i/riv/nazevZdroje
  • Journal of Multivariate Analysis
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 115
http://linked.open...iv/tvurceVysledku
  • Prášková, Zuzana
  • Hušková, Marie
  • Steinebach, Josef G.
  • Chochola, Ondřej
http://linked.open...ain/vavai/riv/wos
  • 000314193700025
issn
  • 0047-259X
number of pages
http://bibframe.org/vocab/doi
  • 10.1016/j.jmva.2012.10.019
http://localhost/t...ganizacniJednotka
  • 11320
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