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来源类型Working Paper
规范类型报告
DOI10.3386/w28140
来源IDWorking Paper 28140
Inference on Risk Premia in Continuous-Time Asset Pricing Models
Yacine Aït-Sahalia; Jean Jacod; Dacheng Xiu
发表日期2020-11-30
出版年2020
语种英语
摘要We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using individual equity returns sampled at high frequencies over an increasing time horizon. We study the identification and estimation of risk premia for the continuous and jump components of risks. Our results generalize the Fama-MacBeth two-pass regression approach from the classical discrete-time factor setting to a continuous-time factor model with general dynamics for the factors, idiosyncratic components and factor loadings, while accounting for the fact that the inputs of the second-pass regression are themselves estimated in the first pass.
主题Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w28140
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/585814
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GB/T 7714
Yacine Aït-Sahalia,Jean Jacod,Dacheng Xiu. Inference on Risk Premia in Continuous-Time Asset Pricing Models. 2020.
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