Robust monitoring of CAPM portfolio betas II
Year of publication: |
2014
|
---|---|
Authors: | Chochola, Ondřej ; Hušková, Marie ; Prášková, Zuzana ; Steinebach, Josef G. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 132.2014, C, p. 58-81
|
Publisher: |
Elsevier |
Subject: | Robust monitoring | Functional capital asset pricing model | Portfolio beta | M-estimate | Change-point detection |
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