کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145756 1489668 2014 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust monitoring of CAPM portfolio betas II
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Robust monitoring of CAPM portfolio betas II
چکیده انگلیسی

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 MM-estimates and partial weighted sums of MM-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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 132, November 2014, Pages 58–81
نویسندگان
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