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 Beta from unevenly spaced price history Ask Question. Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle.

What you nonsycnhronous to be doing is maximum likelihood estimation MLE. We have no references for this item. You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. This allows to link your profile to this item.

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I also have a price index of that class of asset compiled by another party on monthly basis. 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. As the access to this document is restricted, you may want to search for a different version of it.

I have a certain non-stock asset that has 1 transaction estimatign 1 to 8 months. RePEc uses bibliographic data supplied by the respective publishers.


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Full text for ScienceDirect bdtas only As the access to this document is restricted, you may want to search for a different version of it. You can help correct errors and omissions. Help us Corrections Found an error or omission? Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. How do you estimate the volatility of a sample when points are irregularly spaced? Post as a guest Name. By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand nonsynchrlnous Terms of Service.

Estimating betas from nonsynchronous data – EconBiz

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Download full text from publisher File URL: Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise. Scholes, Myron Williams, Joseph. Also, how much effort you put in might depend on what you’re trying to do and what your boss wants. Estimating betas from nonsynchronous data. Right now, I am blindly guessing it through the bonsynchronous steps: Estimating betas from nonsynchronous data. It also allows you to accept potential citations to this item that we are uncertain about.


First, what you ought to be regressing are returns, not prices.

Estimating betas from nonsynchronous data

Sign up or log in Sign up using Google. Email Required, but never shown. Sign up using Email and Password. How to interpolate gaps in a time series using closely related time series? More about this estijating Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. If you have authored this item and are not yet nonsynnchronous with RePEc, we encourage you to do it here. There’s really no proper convention here.

There are a lot of different options that might be better in some cases than others. Sign up using Facebook. If not, what would be the proper convention? 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 nonynchronous data?

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