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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Estimating betas from nonsynchronous data | BibSonomy
Estimating Beta from unevenly spaced price history Ask Question. 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.
See general information about how to correct material in RePEc. If not, what would be the proper convention? Right now, I am blindly guessing it through esttimating following steps: General contact details of provider: Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle.
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Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise. Please note that corrections may take a couple of nonsyncuronous to filter through the various RePEc services.
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Sign up or log in Sign up using Google. I have a certain non-stock asset that has 1 transaction every 1 to 8 months. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.
Estimating betas from nonsynchronous data. Email Required, but never shown. 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. Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations.
As the access to this document is restricted, nonsynchroonous may want to search for a different version of it. You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations.
Home Questions Tags Users Unanswered. How to interpolate gaps in a time series using closely related time series? First, what you ought to be regressing are returns, not prices. Scholes, Myron Williams, Joseph.
Also, how much effort you put estiating might depend on what you’re trying to do and what your boss wants. More about this item Statistics Access and download statistics. What you ought to be doing is maximum likelihood estimation MLE.
Estimating betas from nonsynchronous data
Post as a guest Name. There are a lot of different options that might be better in some cases than others. Sign up using Facebook. How do you estimate the volatility of a sample when points are irregularly spaced? You can help correct errors and omissions.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. If you are a registered author of this item, you may also want to check the “citations” tab in your Beetas Author Service profile, as nonsynchronkus may be some esti,ating waiting for confirmation.
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 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. When requesting a correction, please mention this item’s handle: