Impacts of Time Aggregation on Beta Value and R2 Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence

DOI10.1142/9789811202391_0114zbMath1454.91269OpenAlexW3080132228MaRDI QIDQ5139556

Yuanyuan Xiao, Yushan Tang, Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0114

zbMATH Keywords

temporal aggregationrandom coefficient modelestimation stabilitycoefficient determinationadditive and multiplicative rates of return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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