Variation and efficiency of high-frequency betas
Year of publication: |
2022
|
---|---|
Authors: | Zhang, Congshan ; Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 228.2022, 1, p. 156-175
|
Subject: | Adaptive estimation | Beta | High frequency data | Jump | Semiparametric efficiency | Volatility | Volatilität | Nichtparametrisches Verfahren | Nonparametric statistics | Betafaktor | Beta risk | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory | CAPM | Effizienz | Efficiency | Zeitreihenanalyse | Time series analysis |
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