periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

a statistical model with ARCH disturbances and a time-varying parameter in the mean (TVP ARCH-N). The model decomposes … the predictable component in stock returns into two parts: the time-varying price of volatility and the time …

The following paper discusses the analysis of some types of economic time series using an altered time scale, or … operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are … actually irregularly spaced in a more natural time scale. Section A discusses point or impulse sampling of related series and …

-creation incentives of firms and stock market valuations? We answer these questions in a model with time-varying risk, modeled as a small …