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,

Author: Voodoonris Goltigar
Country: Maldives
Language: English (Spanish)
Genre: Science
Published (Last): 19 February 2006
Pages: 468
PDF File Size: 3.62 Mb
ePub File Size: 7.86 Mb
ISBN: 168-8-39431-364-6
Downloads: 3589
Price: Free* [*Free Regsitration Required]
Uploader: Malam

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. I have a certain non-stock asset that has 1 transaction every 1 to 8 months. I also have a price index of that class of asset compiled by another party on monthly basis.

estimaitng

Right now, I am blindly guessing it through fom following steps: Estimating betas from nonsynchronous data. How do you estimate the volatility of a sample when points are irregularly spaced? How to interpolate gaps in a time series using closely related time series? First, what you ought to be regressing are returns, not prices.

  J PAJEWSKI HISTORIA POWSZECHNA PDF

Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle.

Estimating betas from nonsynchronous data – EconBiz

What you ought to be doing is maximum likelihood estimation MLE. You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. 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.

Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise. By clicking “Post Your Answer”, you acknowledge that you have read our updated terms estimatiing serviceprivacy policy and cookie policyand that your continued use of the website is betzs to these policies. Home Questions Tags Users Unanswered. Estimating Beta from unevenly spaced price history Ask Question. If not, what would be the proper convention? There’s really no proper convention here.

There are a lot of different options that might be better in some cases than others. Also, how much effort you put in might depend on what you’re trying to do and what your boss wants.

  INTERMEDIATE FINANCIAL THEORY DANTHINE PDF

There was a problem providing the content you requested

This sounds like the same problem faced when doing model fitting on tick and order book data nonsyncrhonous do you have any handy references to the conversion from simple regression to using proper MLE when transitioning to asynchronous event data? Sign up or log in Sign up using Google.

Sign up using Facebook. Sign up using Email and Password. Post as a guest Name.

Email Required, but never shown. 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.