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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Also, how much effort you put in might depend on what you’re trying to do and what your boss wants. As the access to this document is restricted, you may want to search for a different version of it. Please note that corrections may take a couple of weeks to filter through the various RePEc services.

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If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. You can help adding them by using this form. I also have a price index of that class of asset compiled by another party on monthly basis. Help us Corrections Found an error or omission? We have no references for this item. Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise. First, what you ought to be regressing are returns, not prices.

If not, what would be the proper convention? Estimating betas from nonsynchronous data.

By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. This allows to link your profile to bstas item. More about this item Statistics Access and download statistics. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Estimating betas from nonsynchronous data.

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Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. Email Required, but never nonxynchronous.

You can help correct errors and omissions. More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. 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. Corrections All material on this site has been provided by the respective publishers and authors.

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

General contact details of provider: This sounds like the same problem nomsynchronous 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 betws transitioning to asynchronous event data?

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Estimating betas from nonsynchronous data – EconBiz

Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. There’s really no betss convention here.

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You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. How to interpolate gaps in a time series using closely related time series? Sign up using Facebook. Right now, I am blindly guessing it through the following steps: Home Questions Tags Users Unanswered.

Estimating betas from nonsynchronous data | BibSonomy

What you ought to be doing is maximum likelihood estimation MLE. Estimating Beta from unevenly spaced price history Ask Question. Scholes, Myron Williams, Joseph. Post as a guest Name. How do you estimate the volatility of a sample when points are irregularly spaced? Download full text from publisher File URL: RePEc uses estimatig data supplied by the respective publishers.

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There are a lot of different options that might be better in some cases than others.