Nonparametric test for a constant beta over a fixed time interval
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More about this item
Keywords
nonparametric tests; time-varying beta; stochastic volatility; high-frequency data;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2014-03-22 (Central Banking)
- NEP-EEC-2014-03-22 (European Economics)
- NEP-MAC-2014-03-22 (Macroeconomics)
- NEP-MON-2014-03-22 (Monetary Economics)
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