Robust monitoring of CAPM portfolio betas

JOURNAL OF MULTIVARIATE ANALYSIS

卷:115

Article

Chochola, Ondrej¹  Huskova, Marie¹  Praskova, Zuzana¹  Steinebach, Josef G.² 

[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, CZ-18675 Prague 8, Czech Republic

[2] Univ Cologne, Math Inst, D-50931 Cologne, Germany

关键词: Robust monitoring;    Capital asset pricing model;    Portfolio beta;    M-estimate;    Change-point detection;   

DOI  :  10.1016/j.jmva.2012.10.019

来源: Elsevier

【 摘 要 】

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 M-estimates and partial weighted sums of M-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. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free