Realized Beta: Persistence and Predictability

DOI10.1016/S0731-9053(05)20020-8zbMath1190.91145OpenAlexW2171764488MaRDI QIDQ3571976

Tim Bollerslev, Ginger Wu, Francis X. Diebold, Torben G. Andersen

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20020-8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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