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Robust monitoring of CAPM portfolio betas II

Publikace na Matematicko-fyzikální fakulta |
2014

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

We propose some robust sequential procedure for the detection of structural breaks in a Functional Capital Asset Pricing Model (FCAPM). 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.