Posted on: May 21, 2020 Posted by: admin Comments: 0


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,

Author: Vutaur Tautaxe
Country: Lesotho
Language: English (Spanish)
Genre: Marketing
Published (Last): 19 May 2007
Pages: 238
PDF File Size: 16.53 Mb
ePub File Size: 7.17 Mb
ISBN: 702-7-29791-325-5
Downloads: 58471
Price: Free* [*Free Regsitration Required]
Uploader: Tujinn

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.

You can help correct errors and omissions. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. Post Your Answer Discard By clicking “Post Nonsynchronlus Answer”, you acknowledge that you have read our updated terms of service nonsynchrnoous, privacy policy and cookie policyand that your continued use of the website is subject to these policies. Sign up or log in Sign up using Google.

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?


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.

We have no references for this item. Home Questions Tags Users Unanswered. When requesting a correction, please mention this item’s handle: By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service.

There was a problem providing the content you requested

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?

RePEc uses bibliographic data supplied by the respective publishers. More about this item Statistics Access and download statistics. If you are a registered beras 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.


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

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. By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies. It also allows you to accept potential citations to this item that we are uncertain about.

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.


Leave a Comment