Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453)

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

    title
    Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (English)
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    author
    Viktor Todorov
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    George Tauchen
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    Markus Reiss
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    publication date
    27 May 2015
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    zbMATH Keywords
    nonparametric tests
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    time-varying beta
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    stochastic volatility
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    high-frequency data
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    cites work
    Q4328700
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    Q4856610
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    Identifiers

    Mathematics Subject Classification ID
    62G10
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    60G48
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    62M07
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    62M10
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    62P05
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    91B25
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    91G70
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    zbMATH DE Number
    6440572
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    OpenAlex ID
    W2152987939
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    arXiv ID
    1403.0349
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