Volatility puzzles: a unified framework for gauging return-volatility regressions
In: Finance and economics discussion series 2003-40
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In: Finance and economics discussion series 2003-40
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In: Economic Research Initiatives at Duke (ERID) Working Paper No. 306
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In: Journal of international economics, Band 36, Heft 3-4, S. 355-372
ISSN: 0022-1996
In: Journal of Econometrics, Band 131, S. 123-150
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In: NBER Working Paper No. w6023
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In: NBER Working Paper No. w5783
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In: American economic review, Band 114, Heft 3, S. 678-708
ISSN: 1944-7981
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The "local Gaussian" property of the generic continuous-time benchmark model enables optimal "finite-sample" inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures. (JEL C22, C58, G12, G23)
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In: NBER Working Paper No. w6666
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