About: Robust monitoring of CAPM portfolio betas II

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We propose some robust sequential procedure for the detection of structural breaks in a Functional Capital Asset Pricing Model (FCAPM). In addition to the theoretical results, some conclusions from a small simulation study together with an application to a real data set are presented in order to illustrate the finite sample performance of our monitoring procedure. We propose some robust sequential procedure for the detection of structural breaks in a Functional Capital Asset Pricing Model (FCAPM). In addition to the theoretical results, some conclusions from a small simulation study together with an application to a real data set are presented in order to illustrate the finite sample performance of our monitoring procedure. (en)
Title	Robust monitoring of CAPM portfolio betas II Robust monitoring of CAPM portfolio betas II (en)
skos:prefLabel	Robust monitoring of CAPM portfolio betas II Robust monitoring of CAPM portfolio betas II (en)
skos:notation	RIV/00216208:11320/14:10287859!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP201/12/1277)
http://linked.open...iv/cisloPeriodika	November
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Chochola, Ondřej Prášková, Zuzana Hušková, Marie
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	42967
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10287859
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	functional data; robust procedures; CAPM; structural changes (en)
http://linked.open.../riv/klicoveSlovo	structural changes functional data CAPM robust procedures
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[B910150DAA84]
http://linked.open...i/riv/nazevZdroje	Journal of Multivariate Analysis
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	4 (xsd:int)
http://linked.open...vavai/riv/projekt	Statistical modelling trends for dependent data
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	132
http://linked.open...iv/tvurceVysledku	Prášková, Zuzana Hušková, Marie Steinebach, Josef G. Chochola, Ondřej
issn	0047-259X
number of pages	23 (xsd:int)
http://localhost/t...ganizacniJednotka	11320

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