Search Results - subject:"quadratic variation and covariation"

Realized beta: Persistence and predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...

Persistent link: https://www.econbiz.de/10010298288

Realized beta: Persistence and predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10010986490

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

management. JEL Classification: C1, G1 Keywords: quadratic variation and covariation, realized volatility, asset pricing … covariances, or equivalently, empirical quadratic variation and covariation. That is, we do not entertain a null hypothesis of …

Persistent link: https://www.econbiz.de/10005022455

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003

Persistent link: https://www.econbiz.de/10005102075