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We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of …
Persistent link: https://www.econbiz.de/10010412417