| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28140 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w28140 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585814 |
| 推荐引用方式 GB/T 7714 | Yacine Aït-Sahalia,Jean Jacod,Dacheng Xiu. Inference on Risk Premia in Continuous-Time Asset Pricing Models. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28140.pdf（791KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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