Variation and efficiency of high-frequency betas

DOI10.1016/J.JECONOM.2020.05.022MaRDI QIDQ2116364zbMATH OpenOpenAlexFDO

Authors Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3561&context=soe_research

zbMATH Keywords

semiparametric efficiencyvolatilityadaptive estimationhigh frequency datajumpbeta

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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