Intraday cross-sectional distributions of systematic risk

DOI10.1016/j.jeconom.2022.11.001MaRDI QIDQ6108306

Raul Riva, Viktor Todorov, Martin Thyrsgaard, Torben G. Andersen

Publication date: 29 June 2023

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

zbMATH Keywords

asset pricing; empirical characteristic function; high-frequency data; stable convergence; dynamic factor models; nonparametric inference

Mathematics Subject Classification ID

62-XX: Statistics

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

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