Realized beta: Persistence and predictability
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More about this item
Keywordsquadratic variation and covariation; realized volatility; asset pricing; CAPM; equity betas; long memory; nonlinear fractional cointegration; continuous-time methods;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-18 (All new papers)
- NEP-BEC-2005-07-18 (Business Economics)
- NEP-CFN-2005-07-18 (Corporate Finance)
- NEP-FIN-2005-07-18 (Finance)
- NEP-FMK-2005-07-18 (Financial Markets)
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