Sequential testing for the stability of high-frequency portfolio betas
Year of publication: |
2012
|
---|---|
Authors: | Aue, Alexander ; Hörmann, Siegfried ; Horváth, Lajos ; Hušková, Marie ; Steinebach, Josef |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 28.2012, 4, p. 804-837
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk | CAPM |
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