Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

DOI10.3982/QE1570zbMath1475.91386OpenAlexW3154912239MaRDI QIDQ5164498

Viktor Todorov, Martin Thyrsgaard, Torben G. Andersen

Publication date: 11 November 2021

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1570

zbMATH Keywords

asset pricinghigh-frequency datanonparametric inferencesystematic riskfunctional convergencemarket betacross-sectional dispersionintraday variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

Intraday cross-sectional distributions of systematic risk ⋮ Autoregressive conditional betas

This page was built for publication: Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk