Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

DOI10.1016/j.spa.2015.02.008zbMath1362.62106arXiv1403.0349OpenAlexW2152987939MaRDI QIDQ2347453

Viktor Todorov, George Tauchen, Markus Reiss

Publication date: 27 May 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.0349

zbMATH Keywords

stochastic volatilityhigh-frequency datanonparametric teststime-varying beta

Mathematics Subject Classification ID

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