ESTIMATING BETAS FROM NONSYNCHRONOUS DATA PDF

ESTIMATING BETAS FROM NONSYNCHRONOUS DATA PDF

By Myron Scholes and Joseph Williams; Estimating betas from nonsynchronous data. Scholes, Myron & Williams, Joseph, “Estimating betas from nonsynchronous data,” Journal of Financial Economics, Elsevier, vol. 5(3), pages Scholes, M. and Williams, J. () Estimating Betas from Nonsynchronous Data. Journal of Financial Economics, 5,

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If you are a registered author of this item, you may also want to check the “citations” tab in your RePEc Author Service profile, as there etsimating be some citations waiting for confirmation. There’s really no proper convention here.

See general information about how to correct material in RePEc. First, what you ought to be regressing are returns, not prices. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Betaas betas from nonsynchronous data. Sign up or log in Sign up using Google. What you ought to be doing is maximum likelihood estimation MLE.

If not, what would be the proper convention? This sounds like the same problem faced when doing model fitting on tick and order book data – do you have any handy references to the conversion from simple regression to using proper MLE when transitioning to asynchronous event data? If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

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Estimating Beta from unevenly spaced price history Ask Question. How to interpolate gaps in a time series using closely related time series?

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Second, by npnsynchronous you’re underestimating the variance of the asset price in the interval between index price observations. There are a lot of different options that might be better in some cases than others. Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to search for a different version of it.

Also, how much effort you put in might depend on what you’re trying to do and what your boss wants. Right npnsynchronous, I am blindly guessing it through the following steps: General contact details of provider: RePEc uses bibliographic data supplied by the respective publishers. Scholes, Myron Williams, Joseph. Email Required, but never shown. Corrections Begas material on this site has been provided by the respective publishers and authors. By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies.

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How nonsynchronoks you estimate the volatility of a sample when points are irregularly spaced? estimtaing

Estimating betas from nonsynchronous data

This allows to link your profile to this item. As the access to this document is restricted, you may want to search for a different version of it. We have no references for this item. Post Your Answer Discard By clicking nonsynfhronous Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject nonsynnchronous these policies.

Whenever you don’t have synchronous data, you’ll have a probability distribution for the missing price conditional on all other data points in its future and in its past. Sign up using Email and Password.

Estimating betas from nonsynchronous data – EconBiz

I have a certain non-stock asset that has 1 transaction every 1 to 8 months. Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise.

When requesting a correction, please mention this item’s handle: Please note that corrections may take a couple of weeks to filter through the various RePEc services. Sign nonsynchronkus using Facebook.