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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Estimating betas from nonsynchronous data. You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations.
Home Questions Tags Netas Unanswered. See general information about how to correct material in RePEc. I also have a price index of that class of asset compiled by another party on monthly basis.
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Help us Corrections Found an error or omission? Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. Sign up or log in Sign up using Google.
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When requesting a correction, please mention this item’s handle: There’s really no proper convention here. Email Required, but never shown. What you ought to be doing is maximum likelihood estimation MLE. As the access to this document is restricted, you may want eetimating search for a different version of it.
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise.
Also, how much effort you put in might depend on what you’re trying to do and what your boss wants. Estimating betas from nonsynchronous data. I have a certain non-stock asset that has 1 transaction every 1 to 8 months.
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Betsa do you estimate the volatility of a sample when points are irregularly jonsynchronous More about this item Statistics Access and download statistics. Please note that corrections may estimatig a couple of weeks to filter through the various RePEc services.
Scholes, Myron Williams, Joseph.