.e., betas. We study the effect of different data sampling frequencies, forecast adjustments, and model combinations for beta … estimation. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator …

find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally …In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … weighted portfolio. In contrast, the risk of a long-only minimum variance portfolio is substantially under-forecast even with …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …