TY  - BOOK
AU  - Bollerslev, Tim
TI  - Optimal inference for spot regressions
PY  - 2024///
PB  - American Economic Review
KW  - Economics
KW  - Financial markets
KW  - Beta measurement
KW  - Macroeconomics
KW  - Financial asset
N2  - 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
UR  - https://www.aeaweb.org/articles?id=10.1257/aer.20221338
ER  -