Realized Beta: Persistence and Predictability

By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, J. Wu. 2004

235 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9ab7993914dc28cbf639ea6381fed9e784a2c580

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Lajos Horv'ath
2. Mark Podolskij
3. Alexander Aue
4. V. Todorov
5. Kim Christensen
6. Marie Husková
7. George Tauchen
8. Jia Li

In Finance

1. Lajos Horv'ath
2. V. Todorov
3. Alexander Aue
4. Mark Podolskij
5. Kim Christensen
6. Andrew J. Patton
7. Siegfried Hormann
8. George Tauchen

Citations in the corpus

• SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “Criticism has focused on the role of the betas, in particular their potentially time-varying character (see Ghysels, 1998, and Harvey, 1991, among many others), and has led to conditional versions of the CAPM (see Andersen et al., 2006, for a comprehensive review). Ghysels (1998) has shown, however,”
• Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2010, unknown): “Our estimation and inference procedures thus extend the results in Barndorff-Nielsen and Shephard (2004a) on realized covariation measures for continuous sample path diffusions.”
• Adaptive estimation of continuous-time regression models using high-frequency data (2017, background): “In financial applications estimators for β from high-frequency data have been considered by Bollerslev and Zhang (2003), BarndorffNielsen and Shephard (2004), Andersen et al. (2006), Mykland”
• Bootstrapping realized multivariate volatility measures (2010, unknown): “0 Σ22(u)du )−1 gρ, (5) with gρ = d12V d12, d12 = ( −12 2 , 1,−21 2 )′ ,”
• Realised hedge ratio properties, performance and implications for risk management: evidence from the spanish ibex 35 spot and futures markets (2010, result): “A result similar to this was reported by Andersen et al (2004) in the context of realised CAPM betas.”
• Stock Returns in Mergers and Acquisitions (2008, unknown): “We follow the high-frequency or “realized beta” approach of Andersen et al. (2005) and find that firm-level betas vary dramatically in the time period surrounding the announcement of a deal.”
• Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, unknown): “Evidently, the estimated processes exhibit substantial memory with autoregressive roots at 0.90 or higher (see also Andersen, Bollerslev, Diebold, and Wu, 2006, who study the persistence of quarterly realised beta estimated from daily asset returns).”
• Realised quantile-based estimation of the integrated variance (2010, background): “See, for instance, Schwert (1989) who calculates monthly RVs using daily data or, more recently, Andersen et al. (2006) who study quarterly RVs and realised betas calculated from daily data.”
• Dynamic Conditional Beta (2016, unknown): “The projection may be linear but with a non-normal error which will support estimation as in Brownlees and Engle(2011). The more difficult issue is that we do not observe directly either the vector of conditional means or conditional covariances. A model is required for each of these. For many finan”