About: SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

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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)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1017/S0266466611000673
Description	Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research output concerning high-frequency models. Within this framework, we introduce here a modified functional CAPM and sequential monitoring procedures to test for the constancy of the portfolio betas. As our main results we derive the large-sample properties of these monitoring procedures. In a simulation study and an application to S&P 100 data we show that our method performs well in finite samples. Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research output concerning high-frequency models. Within this framework, we introduce here a modified functional CAPM and sequential monitoring procedures to test for the constancy of the portfolio betas. As our main results we derive the large-sample properties of these monitoring procedures. In a simulation study and an application to S&P 100 data we show that our method performs well in finite samples. (en)
Title	SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (en)
skos:prefLabel	SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (en)
skos:notation	RIV/00216208:11320/12:10124995!RIV13-GA0-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GC201/09/J006)
http://linked.open...iv/cisloPeriodika	4
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	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	167533
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/12:10124995
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	ASYMPTOTICS; REGRESSION; RISK; HETEROSKEDASTICITY; TIME; MODELS; GENERALIZED ARCH; STRUCTURAL-CHANGE; POSITIVE SEMIDEFINITE; CONSISTENT COVARIANCE-MATRIX (en)
http://linked.open.../riv/klicoveSlovo	RISK ASYMPTOTICS CONSISTENT COVARIANCE-MATRIX GENERALIZED ARCH HETEROSKEDASTICITY POSITIVE SEMIDEFINITE REGRESSION STRUCTURAL-CHANGE TIME MODELS
http://linked.open...odStatuVydavatele	GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV	[B40ECD0A0307]
http://linked.open...i/riv/nazevZdroje	Econometric Theory
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	5 (xsd:int)
http://linked.open...vavai/riv/projekt	Structural Breaks in Time Series
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	28
http://linked.open...iv/tvurceVysledku	Aue, Alexander Horvath, Lajos Hušková, Marie Hormann, Siegfried Steinebach, Josef G.
http://linked.open...ain/vavai/riv/wos	000307145600004
issn	0266-4666
number of pages	33 (xsd:int)
http://bibframe.org/vocab/doi	10.1017/S0266466611000673
http://localhost/t...ganizacniJednotka	11320
is http://linked.open...avai/riv/vysledek of	SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

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