Evaluating factor pricing models using high-frequency panels
نویسندگان
چکیده
منابع مشابه
Evaluating Factor Pricing Models Using High Frequency Panels1
This paper develops a new framework and statistical tools to analyze stock returns using high frequency data. We consider a continuous-time multi-factor model via a continuous-time multivariate regression incorporating realistic empirical features, such as persistent stochastic volatilities with leverage effects. We find that conventional regression approach often leads to misleading and incons...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2016
ISSN: 1759-7323
DOI: 10.3982/qe251