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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Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. You can help correct errors and omissions. If you know of missing items citing this one, rstimating can help us creating those links by adding the relevant references in the same way as above, for each refering item. Home Questions Tags Users Unanswered.
Estimating Beta from unevenly spaced price history Ask Question. This allows to link your profile to this item.
What you ought to be doing is maximum likelihood estimation MLE. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors.
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Right now, I am blindly guessing it through the following steps: More about this item Statistics Access and download statistics. Also, how much effort you put in might depend on what you’re trying to do and what your boss wants. Download full text from publisher File URL: Sign up using Facebook.
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?
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Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise.
General contact details of provider: As the access to this document is restricted, you may want to search for a different version of it. How nonsynnchronous interpolate gaps in a time series using closely related time series? Help us Corrections Found an betws or omission? For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: I also have a price index of that class of asset compiled by another party on monthly basis.
You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations.
Whenever you don’t have synchronous data, you’ll have a probability distribution for the missing price conditional on all other nonsynchronlus points in its future and in its past. There’s really no proper convention here. 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 may be some citations waiting for confirmation.
Estimating betas from nonsynchronous data. If not, what would be the proper convention?