Optimal inference for spot regressions

Optimal inference for spot regressions

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying...

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Bibliographic Details
Main Authors: BOLLERSLEV, Tim, LI, Jia, REN, Yuexuan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Beta
high-frequency data
optimal estimation
leveraged ETFs
event study
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2645
https://ink.library.smu.edu.sg/context/soe_research/article/3644/viewcontent/OptimalInferenceSpotRegressions_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2645
https://ink.library.smu.edu.sg/context/soe_research/article/3644/viewcontent/OptimalInferenceSpotRegressions_sv.pdf

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