Variation and efficiency of high-frequency betas

DOI10.1016/j.jeconom.2020.05.022MaRDI QIDQ2116364

Viktor Todorov, George Tauchen, Jia Li, Congshan Zhang

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

adaptive estimation; volatility; semiparametric efficiency; high frequency data; jump; beta

Mathematics Subject Classification ID

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences

Cites Work

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