Sequential testing for the stability of high-frequency portfolio betas

Econometric Theory

Volumn 28, Issue 4, 2012, Pages 804-837

  Aue, Alexander ^a   Hörmann, Siegfried ^b   Horváth, Lajos ^c   Hušková, Marie ^d   Steinebach, Josef G ^e  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c UNIVERSITY OF UTAH   (United States)

^d CHARLES UNIVERSITY   (Czech Republic)

^e UNIVERSITY OF COLOGNE   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84864328130     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466611000673     Document Type: Article

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