Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator
使用稳健已实现积分贝塔估计量的动态已实现贝塔模型
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture the dynamic evolution of market betas. We call this the dynamic realized beta (DR Beta). We first develop a non-parametric realized integrated beta estimator using high-frequency financial data contaminated by microstructure noises, which…