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Measuring and modeling systematic risk in factor pricing models using high-frequency data

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Cited by:

  1. Olkhov, Victor, 2018. "Economic Transactions Govern Business Cycles," MPRA Paper 88531, University Library of Munich, Germany, revised 19 Aug 2018.
  2. Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.
  3. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
  4. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  5. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
  6. Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
  7. Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.
  8. Patton, Andrew J. & Verardo, Michela, 2009. "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  9. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Michiel de Pooter & Martin Martens & Dick van Dijk, 2008. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 199-229.
  11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006. "Realized Beta: Persistence and Predictability," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 1-39, Emerald Group Publishing Limited.
  12. Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015. "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
  13. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
  14. Li, Jia & Todorov, Viktor & Tauchen, George, 2017. "Adaptive estimation of continuous-time regression models using high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 36-47.
  15. Oleg Korenok & Stanislav Radchenko, 2006. "The role of permanent and transitory components in business cycle volatility moderation," Empirical Economics, Springer, vol. 31(1), pages 217-241, March.
  16. Matteo Bonato & Luca Taschini, 2016. "Comovement and the financialization of commodities," GRI Working Papers 215, Grantham Research Institute on Climate Change and the Environment.
  17. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
  18. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
  19. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  20. Kevin Sheppard & Wen Xu, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
  21. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
  22. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  23. Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2020. "The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas," Management Science, INFORMS, vol. 66(6), pages 2474-2494, June.
  24. Sean A. Anthonisz & Tālis J. Putniņš, 2017. "Asset Pricing with Downside Liquidity Risks," Management Science, INFORMS, vol. 63(8), pages 2549-2572, August.
  25. Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
  26. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
  27. Ilze Kalnina, 2023. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
  28. repec:hum:wpaper:sfb649dp2011-059 is not listed on IDEAS
  29. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  30. Olkhov, Victor, 2018. "Economic and Financial Transactions Govern Business Cycles," MPRA Paper 93269, University Library of Munich, Germany.
  31. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
  32. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
  33. Kevin Sheppard & Wen Xu, 2019. "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 33-65.
  34. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
  35. Victor Olkhov, 2020. "Business Cycles as Collective Risk Fluctuations," Papers 2012.04506, arXiv.org.
  36. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
  37. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  38. Hearn, Bruce & Phylaktis, Kate & Piesse, Jenifer, 2017. "Expropriation risk by block holders, institutional quality and expected stock returns," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 122-149.
  39. Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2014. "The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market," Working Paper Series 1629, European Central Bank.
  40. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
  41. Zhang, Congshan & Li, Jia & Todorov, Viktor & Tauchen, George, 2022. "Variation and efficiency of high-frequency betas," Journal of Econometrics, Elsevier, vol. 228(1), pages 156-175.
  42. Schotman, Peter C & Zalewska, Ania, 2005. "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers 5352, C.E.P.R. Discussion Papers.
  43. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
  44. Papavassiliou, Vassilios G., 2013. "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 184-197.
  45. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "How to Estimate Beta?," Hannover Economic Papers (HEP) dp-617, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  46. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section," Journal of Financial Markets, Elsevier, vol. 44(C), pages 91-118.
  47. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  48. Hearn, Bruce & Li, Jing & Mykhayliv, Dariya & Waqas, Muhammad, 2021. "Asset pricing in the Middle East’s equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  49. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
  50. Chincarini, Ludwig B. & Kim, Daehwan & Moneta, Fabio, 2020. "Beta and firm age," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 50-74.
  51. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.
  52. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
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