Spot beta estimation with asynchronous noisy prices
Maria Elvira Mancino, Tommaso Mariotti and Giacomo Toscano
| Year of publication: |
2025
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|---|---|
| Authors: | Mancino, Maria Elvira ; Mariotti, Tommaso ; Toscano, Giacomo |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 5, p. 733-755
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| Subject: | Beta coefficient | Epps effect | Fourier analysis | High-frequency data | Non-synchronicity | Nonparametric spot covariance estimation | Schätztheorie | Estimation theory | Schätzung | Estimation | Betafaktor | Beta risk | Korrelation | Correlation | CAPM | Nichtparametrisches Verfahren | Nonparametric statistics | Börsenkurs | Share price | Volatilität | Volatility | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2025.2500494 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534146