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...

The problem of determining whether or not a theoretical model is an accurate representation of an empirically observed phenomenon is one of the most challenging in the empirical scientific investigation. The following study explores the problem of stochastic model validation. Special attention...

It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward...