Variation and efficiency of high-frequency betas
Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen
| Year of publication: |
2022
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|---|---|
| Authors: | Zhang, Congshan ; Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 228.2022, 1, p. 156-175
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| Subject: | Adaptive estimation | Beta | High frequency data | Jump | Semiparametric efficiency | Volatility | Volatilität | Betafaktor | Beta risk | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Schätztheorie | Estimation theory | CAPM | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.05.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441735