Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145869 | Journal of Multivariate Analysis | 2013 | 22 Pages |
Abstract
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 MM-estimates and partial weighted sums of MM-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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Ondřej Chochola, Marie Hušková, Zuzana Prášková, Josef G. Steinebach,