Nonparametric test for a constant beta between It(o)over-cap semi-martingales based on high-frequency data

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Reiss, Markus¹  Todorov, Viktor²  Tauchen, George³ 

[1] Humboldt Univ, Inst Math, D-10099 Berlin, Germany

[2] Northwestern Univ, Dept Finance, Evanston, IL 60208 USA

[3] Duke Univ, Dept Econ, Durham, NC 27708 USA

关键词: Nonparametric tests;    Time-varying beta;    Stochastic volatility;    High-frequency data;   

DOI  :  10.1016/j.spa.2015.02.008

来源: Elsevier

【 摘 要 】

We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate It (o) over cap semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk factor and the spot continuous variation of the latter. The test is based on the asymptotic behavior of the covariation between the risk factor and an estimate of the residual component of the asset, that is orthogonal (in martingale sense) to the risk factor, over blocks with asymptotically shrinking time span. Rate optimality of the test over smoothness classes is derived. (C) 2015 Elsevier B.V. All rights reserved.

【 授权许可】

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