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ESTIMATING BETAS FROM NONSYNCHRONOUS DATA PDF

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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More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. Hence the distribution you’ll be using to maximise frmo likelihood of the observed price will be wider than otherwise. As the access to this document is restricted, you may want to search for a different version of it.

Estimating betas from nonsynchronous data.

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Whenever you don’t have synchronous data, you’ll have a probability distribution for the missing price conditional on all other data points in its future and in its past. How do you estimate the volatility of a sample when points are irregularly spaced? I also have a price index of that class of asset compiled by another party on monthly basis. 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 event data?

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Please note that corrections may take a couple of weeks to filter through the various RePEc services. Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations.

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You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. There are a lot of different options that might be better in some cases than others. Download full text from publisher File URL: How to interpolate gaps in nonsynchronojs time series using closely related time series?

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I have a certain non-stock asset that has 1 transaction every 1 to 8 months.

Post as a guest Name. Through your choice of interpolation method, you’re essentially picking an betass price in the middle. This allows to link your profile to this item. Help us Corrections Found an error or omission?

Estimating betas from nonsynchronous data – EconBiz

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For dats questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sign up using Facebook. Email Required, but never shown. Scholes, Myron Williams, Joseph.

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