Browsing by Subject "Beta"
Now showing items 1-2 of 2
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Jump Robustness of Realized Beta and Disentanglement of Jump Beta
(2012-04-17)This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or ... -
Time Varying Beta: The Heterogeneous Autoregressive Beta Model
(2011-04-15)Conventional models of volatility estimation do not capture the persistence in high-frequency market data and are not able to limit the impact of market microstructure noise present at very finely sampled intervals. In an ...
