Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Published
Journal Article
© 2015 Elsevier B.V. We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate Itô 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.
Full Text
Duke Authors
Cited Authors
- Reiß, M; Todorov, V; Tauchen, G
Published Date
- August 1, 2015
Published In
Volume / Issue
- 125 / 8
Start / End Page
- 2955 - 2988
International Standard Serial Number (ISSN)
- 0304-4149
Digital Object Identifier (DOI)
- 10.1016/j.spa.2015.02.008
Citation Source
- Scopus