Robust monitoring of CAPM portfolio betas II - Kölner UniversitätsPublikationsServer

Chochola, Ondrej, Huskova, Marie ORCID: 0000-0002-6868-1362, Praskova, Zuzana ORCID: 0000-0003-1089-5541 and Steinebach, Josef G. (2014). Robust monitoring of CAPM portfolio betas II. J. Multivar. Anal., 132. S. 58 - 82. SAN DIEGO: ELSEVIER INC. ISSN 0047-259X

Full text not available from this repository.

DOI:10.1016/j.jmva.2014.07.016

Abstract

In this work, we extend our study in Chochola et al. [7] and propose some robust sequential procedure for the detection of structural breaks in a Functional Capital Asset Pricing Model (FCAPM). The procedure is again based on M-estimates and partial weighted sums of M-residuals and robustifies the approach of Aue et al. [3], in which ordinary least squares (OLS) estimates have been used. Similar to Aue et al. [3], and in contrast to Chochola et al. [7], high-frequency data can now also be taken into account. The main results prove some null asymptotics for the suggested test as well as its consistency under local alternatives. 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. (C) 2014 Elsevier Inc. All rights reserved.

Item Type:

Journal Article

Creators:

Creators	Email	ORCID	ORCID Put Code
Chochola, Ondrej	UNSPECIFIED	UNSPECIFIED	UNSPECIFIED
Huskova, Marie	UNSPECIFIED	orcid.org/0000-0002-6868-1362	UNSPECIFIED
Praskova, Zuzana	UNSPECIFIED	orcid.org/0000-0003-1089-5541	UNSPECIFIED
Steinebach, Josef G.	UNSPECIFIED	UNSPECIFIED	UNSPECIFIED