Variation and efficiency of high-frequency betas
This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the effici...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2562 https://ink.library.smu.edu.sg/context/soe_research/article/3561/viewcontent/Variation_and_efficiency_of_high_frequency_betas.pdf |
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| Institution: | Singapore Management University |
| Language: | English |