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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor - 2021
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10013224117
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Cross-Sectional Dispersion of Risk in Trading Time
Andersen, Torben G. - 2019
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10012480274
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Estimation of spot volatility with superposed noisy data
Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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Cross-sectional dispersion of risk in trading time
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2019
Persistent link: https://www.econbiz.de/10012124980
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Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296
Persistent link: https://www.econbiz.de/10014526318