SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

被引:31
作者
Aue, Alexander [1 ]
Hormann, Siegfried [2 ]
Horvath, Lajos [3 ]
Huskova, Marie [4 ]
Steinebach, Josef G. [5 ]
机构
[1] Univ Calif Davis, Dept Stat, Davis, CA 95616 USA
[2] Univ Libre Bruxelles, Brussels, Belgium
[3] Univ Utah, Salt Lake City, UT 84112 USA
[4] Charles Univ Prague, Prague, Czech Republic
[5] Univ Cologne, Cologne, Germany
基金
美国国家科学基金会;
关键词
CONSISTENT COVARIANCE-MATRIX; POSITIVE SEMIDEFINITE; STRUCTURAL-CHANGE; GENERALIZED ARCH; MODELS; TIME; HETEROSKEDASTICITY; RISK; REGRESSION; ASYMPTOTICS;
D O I
10.1017/S0266466611000673
中图分类号
F [经济];
学科分类号
02 ;
摘要
Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research output concerning high-frequency models. Within this framework, we introduce here a modified functional CAPM and sequential monitoring procedures to test for the constancy of the portfolio betas. As our main results we derive the large-sample properties of these monitoring procedures. In a simulation study and an application to S&P 100 data we show that our method performs well in finite samples.
引用
收藏
页码:804 / 837
页数:34
相关论文
共 56 条
[1]  
Amsler C.E., 1985, J FINANC ECON, V14, P393
[2]  
Andersen TG, 2006, ADV ECONOMETRICS, V20, P1, DOI 10.1016/S0731-9053(05)20020-8
[3]   AN IMPROVED HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J].
ANDREWS, DWK ;
MONAHAN, JC .
ECONOMETRICA, 1992, 60 (04) :953-966
[4]   HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].
ANDREWS, DWK .
ECONOMETRICA, 1991, 59 (03) :817-858
[5]  
[Anonymous], 2002, Analysis of financial time series
[6]   Delay time in sequential detection of change [J].
Aue, A ;
Horváth, L .
STATISTICS & PROBABILITY LETTERS, 2004, 67 (03) :221-231
[7]  
Aue A., 2006, TEST, V17, P515
[8]   Change-point monitoring in linear models [J].
Aue, Alexander ;
Horvath, Lajos ;
Huskova, Marie ;
Kokoszka, Piotr .
ECONOMETRICS JOURNAL, 2006, 9 (03) :373-403
[9]   BREAK DETECTION IN THE COVARIANCE STRUCTURE OF MULTIVARIATE TIME SERIES MODELS [J].
Aue, Alexander ;
Hormann, Siegfried ;
Horvath, Lajos ;
Reimherr, Matthew .
ANNALS OF STATISTICS, 2009, 37 (6B) :4046-4087
[10]   Delay times of sequential procedures for multiple time series regression models [J].
Aue, Alexander ;
Horvath, Lajos ;
Reimherr, Matthew L. .
JOURNAL OF ECONOMETRICS, 2009, 149 (02) :174-190