Skip to main content
Journal cover image

Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

Publication ,  Journal Article
Reiß, M; Todorov, V; Tauchen, G
Published in: Stochastic Processes and their Applications
August 1, 2015

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.

Duke Scholars

Published In

Stochastic Processes and their Applications

DOI

ISSN

0304-4149

Publication Date

August 1, 2015

Volume

125

Issue

8

Start / End Page

2955 / 2988

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 4901 Applied mathematics
  • 1502 Banking, Finance and Investment
  • 0104 Statistics
  • 0102 Applied Mathematics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Reiß, M., Todorov, V., & Tauchen, G. (2015). Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. Stochastic Processes and Their Applications, 125(8), 2955–2988. https://doi.org/10.1016/j.spa.2015.02.008
Reiß, M., V. Todorov, and G. Tauchen. “Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data.” Stochastic Processes and Their Applications 125, no. 8 (August 1, 2015): 2955–88. https://doi.org/10.1016/j.spa.2015.02.008.
Reiß M, Todorov V, Tauchen G. Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. Stochastic Processes and their Applications. 2015 Aug 1;125(8):2955–88.
Reiß, M., et al. “Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data.” Stochastic Processes and Their Applications, vol. 125, no. 8, Aug. 2015, pp. 2955–88. Scopus, doi:10.1016/j.spa.2015.02.008.
Reiß M, Todorov V, Tauchen G. Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. Stochastic Processes and their Applications. 2015 Aug 1;125(8):2955–2988.
Journal cover image

Published In

Stochastic Processes and their Applications

DOI

ISSN

0304-4149

Publication Date

August 1, 2015

Volume

125

Issue

8

Start / End Page

2955 / 2988

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 4901 Applied mathematics
  • 1502 Banking, Finance and Investment
  • 0104 Statistics
  • 0102 Applied Mathematics