SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

By Alexander Aue, Siegfried Hormann, Lajos Horv'ath, Marie Husková, Josef G. Steinebach. Econometric Theory, 2011

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/728ca60d91186f139cd0fa7e09bc4354c1d69463

Citations in the corpus

• DEPENDENT FUNCTIONAL LINEAR MODELS WITH APPLICATIONS TO MONITORING STRUCTURAL CHANGE (2014, unknown): “The latter paper and Aue et al. (2012) also contain a number of examples of processes that satisfy Assumptions 4 and 5, these notably including functional autoregressive processes.”