Matches in SemOpenAlex for { <https://semopenalex.org/work/W4206300257> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W4206300257 endingPage "102632" @default.
- W4206300257 startingPage "102632" @default.
- W4206300257 abstract "Analysis with high frequency returns has become a core part of modern financial econometrics. Particularly in the measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies CAPM beta measurement with high frequency returns and evaluates trade-offs between bias and variability from different approaches. Our main finding is that the increasing of the return sampling frequency to a suitably high level with the inclusion of a lead and lag in the beta estimation, can result in substantial improvements in the bias and variability trade-off, relative to standard realized beta estimators with returns over a range of sampling frequencies." @default.
- W4206300257 created "2022-01-26" @default.
- W4206300257 creator A5046313237 @default.
- W4206300257 creator A5059761445 @default.
- W4206300257 creator A5071831385 @default.
- W4206300257 creator A5085339064 @default.
- W4206300257 date "2022-06-01" @default.
- W4206300257 modified "2023-10-01" @default.
- W4206300257 title "Beta measurement with high frequency returns" @default.
- W4206300257 cites W1984211120 @default.
- W4206300257 cites W1984272629 @default.
- W4206300257 cites W2101786721 @default.
- W4206300257 cites W2155804346 @default.
- W4206300257 cites W2171764488 @default.
- W4206300257 cites W2315682763 @default.
- W4206300257 cites W2582707085 @default.
- W4206300257 cites W2768713005 @default.
- W4206300257 cites W3121401171 @default.
- W4206300257 cites W3121661702 @default.
- W4206300257 cites W3123361201 @default.
- W4206300257 cites W3123808201 @default.
- W4206300257 cites W3124307699 @default.
- W4206300257 cites W3216651525 @default.
- W4206300257 doi "https://doi.org/10.1016/j.frl.2021.102632" @default.
- W4206300257 hasPublicationYear "2022" @default.
- W4206300257 type Work @default.
- W4206300257 citedByCount "2" @default.
- W4206300257 countsByYear W42063002572022 @default.
- W4206300257 countsByYear W42063002572023 @default.
- W4206300257 crossrefType "journal-article" @default.
- W4206300257 hasAuthorship W4206300257A5046313237 @default.
- W4206300257 hasAuthorship W4206300257A5059761445 @default.
- W4206300257 hasAuthorship W4206300257A5071831385 @default.
- W4206300257 hasAuthorship W4206300257A5085339064 @default.
- W4206300257 hasConcept C105795698 @default.
- W4206300257 hasConcept C149782125 @default.
- W4206300257 hasConcept C162324750 @default.
- W4206300257 hasConcept C178650346 @default.
- W4206300257 hasConcept C181236170 @default.
- W4206300257 hasConcept C185429906 @default.
- W4206300257 hasConcept C199360897 @default.
- W4206300257 hasConcept C2776174256 @default.
- W4206300257 hasConcept C31258907 @default.
- W4206300257 hasConcept C33923547 @default.
- W4206300257 hasConcept C41008148 @default.
- W4206300257 hasConcept C75778745 @default.
- W4206300257 hasConceptScore W4206300257C105795698 @default.
- W4206300257 hasConceptScore W4206300257C149782125 @default.
- W4206300257 hasConceptScore W4206300257C162324750 @default.
- W4206300257 hasConceptScore W4206300257C178650346 @default.
- W4206300257 hasConceptScore W4206300257C181236170 @default.
- W4206300257 hasConceptScore W4206300257C185429906 @default.
- W4206300257 hasConceptScore W4206300257C199360897 @default.
- W4206300257 hasConceptScore W4206300257C2776174256 @default.
- W4206300257 hasConceptScore W4206300257C31258907 @default.
- W4206300257 hasConceptScore W4206300257C33923547 @default.
- W4206300257 hasConceptScore W4206300257C41008148 @default.
- W4206300257 hasConceptScore W4206300257C75778745 @default.
- W4206300257 hasLocation W42063002571 @default.
- W4206300257 hasOpenAccess W4206300257 @default.
- W4206300257 hasPrimaryLocation W42063002571 @default.
- W4206300257 hasRelatedWork W1985464957 @default.
- W4206300257 hasRelatedWork W1986266200 @default.
- W4206300257 hasRelatedWork W2021298725 @default.
- W4206300257 hasRelatedWork W2022232878 @default.
- W4206300257 hasRelatedWork W2082102138 @default.
- W4206300257 hasRelatedWork W2183769715 @default.
- W4206300257 hasRelatedWork W2271240064 @default.
- W4206300257 hasRelatedWork W2620806902 @default.
- W4206300257 hasRelatedWork W4206300257 @default.
- W4206300257 hasRelatedWork W4246387931 @default.
- W4206300257 hasVolume "47" @default.
- W4206300257 isParatext "false" @default.
- W4206300257 isRetracted "false" @default.
- W4206300257 workType "article" @default.