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Robust monitoring of CAPM portfolio betas

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  • Chochola, Ondřej
  • Hušková, Marie
  • Prášková, Zuzana
  • Steinebach, Josef G.

Abstract

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 procedures based on M-estimates and partial weighted sums of M-residuals. The theoretical results are accompanied by a simulation study that compares the proposed procedures with those based on OLS estimates. An application to a real data set is also presented.

Suggested Citation

  • Chochola, Ondřej & Hušková, Marie & Prášková, Zuzana & Steinebach, Josef G., 2013. "Robust monitoring of CAPM portfolio betas," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 374-395.
    • Handle: RePEc:eee:jmvana:v:115:y:2013:i:c:p:374-395
    DOI: 10.1016/j.jmva.2012.10.019
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    References listed on IDEAS

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    7. Caporale, Tony, 2012. "Time varying CAPM betas and banking sector risk," Economics Letters, Elsevier, vol. 115(2), pages 293-295.
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    9. Marc G. Genton & Elvezio Ronchetti, 2008. "Robust Prediction of Beta," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 147-161, Springer.
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    1. Chochola, Ondřej & Hušková, Marie & Prášková, Zuzana & Steinebach, Josef G., 2014. "Robust monitoring of CAPM portfolio betas II," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 58-81.
    2. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
    3. Duan, Yunlong & Mu, Chang & Yang, Meng & Deng, Zhiqing & Chin, Tachia & Zhou, Li & Fang, Qifeng, 2021. "Study on early warnings of strategic risk during the process of firms’ sustainable innovation based on an optimized genetic BP neural networks model: Evidence from Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 242(C).
    4. Marie Hušková & Zuzana Prášková, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 265-269, June.
    5. Zhou, Mi & Wang, Huixia Judy & Tang, Yanlin, 2015. "Sequential change point detection in linear quantile regression models," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 98-103.
    6. Shi, Xuesheng & Gallagher, Colin & Lund, Robert & Killick, Rebecca, 2022. "A comparison of single and multiple changepoint techniques for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
    7. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

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