Nonparametric test for a constant beta between It(o)over-cap semi-martingales based on high-frequency data

作者：Reiss Markus; Todorov Viktor^*; Tauchen George

来源：Stochastic Processes and Their Applications, 2015, 125(8): 2955-2988.

DOI：10.1016/j.spa.2015.02.008

• Nonparametric tests
• Time-varying beta
• Stochastic volatility
• High-frequency data

We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate It (o) over cap semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk factor and the spot continuous variation of the latter. The test is based on the asymptotic behavior of the covariation between the risk factor and an estimate of the residual component of the asset, that is orthogonal (in martingale sense) to the risk factor, over blocks with asymptotically shrinking time span. Rate optimality of the test over smoothness classes is derived.

• 出版日期2015-8
• 单位西北大学