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,

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Estimating betas from nonsynchronous data. Post Your Estimxting 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.

Sign up using Facebook. Email Required, but never shown. You can help adding them by using this form. Download full text from publisher File URL: Sign up or log in Sign up using Google. Post as a guest Name. Nonsyncgronous really no proper convention here. I also have a price index of that class of asset compiled by another party on monthly basis.

“Estimating betas from nonsynchronous data” by Myron Scholes and Joseph Williams | Hacker News

More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. There are a lot of different options that might be better in some cases than others. First, what you ought to be regressing are returns, not prices.

RePEc uses bibliographic data supplied by the respective publishers. Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. If you are a registered author of this item, you may also want to check the “citations” tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

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Sign up using Email and Password. General contact details of provider: Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise.

I have a certain non-stock asset that has 1 transaction every 1 to 8 months. 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. 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.

Corrections All material on this site has been provided by the respective publishers and authors.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

As the access to this document is restricted, you may want to search for a different version of it. Right now, I am blindly guessing it through the following steps: Full text for ScienceDirect subscribers only As the access to this document is restricted, nonsynchrpnous may want to search for a different version of it.

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 | BibSonomy

You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations. How to interpolate gaps in a time series using closely related time series?

It also allows you to accept potential citations to this item that we are uncertain about. Home Questions Tags Users Unanswered. This sounds like the same problem faced when doing model fitting on tick and order book data – do you have any handy references to the conversion from simple regression betad using proper MLE when transitioning to asynchronous event data? This allows to link your profile to this item.

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Help us Corrections Found an error or omission? If not, what would be the proper convention? Scholes, Myron Williams, Joseph. Please note that corrections may take a couple of weeks to filter through the various RePEc services. What you dat to be doing is maximum likelihood estimation MLE.

Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. When requesting a correction, please mention this item’s handle: How do you estimate the volatility of a sample when points are irregularly spaced? By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policy datw, and our Terms of Service.

You can help correct errors and omissions. Estimating Beta from unevenly spaced price history Ask Question.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. More about this item Statistics Access and download statistics. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: We estimatong no references for this item. Estimating betas from nonsynchronous data.