Variation and efficiency of high-frequency betas

• المؤلفون الرئيسيون: ZHANG, Congshan, LI, Jia, TODOROV, Viktor, TAUCHEN, George
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2022
• الموضوعات: Adaptive estimation; Beta; High frequency data; Jump; Semiparametric efficiency; Volatility; Econometrics
• الوصول للمادة أونلاين: 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

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...