Optimal inference for spot regressions (Record no. 133302)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01239nam a22001337a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240611b |||||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Bollerslev, Tim |
| -- | Ren, Yuexuan |
| 245 ## - TITLE STATEMENT | |
| Title | Optimal inference for spot regressions |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Name of publisher, distributor, etc. | American Economic Review |
| Date of publication, distribution, etc. | March 2024 |
| 520 ## - Abstract | |
| Abstract | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Economics; |
| -- | Financial markets; |
| -- | Beta measurement; |
| -- | Macroeconomics; |
| -- | Financial asset |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://www.aeaweb.org/articles?id=10.1257/aer.20221338">https://www.aeaweb.org/articles?id=10.1257/aer.20221338</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Article Index |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| -- | 118940 |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Serial Enumeration / chronology | Total Checkouts | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Dr VKRV Rao Library | Dr VKRV Rao Library | 11/06/2024 | Vol.114, No.3 | AI23 | 11/06/2024 | 11/06/2024 | Article Index |