Inference on Risk Premia in Continuous-Time Asset Pricing Models
收藏NBER2020-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w28140
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资源简介：
We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using individual equity returns sampled at high frequencies over an increasing time horizon. We study the identification and estimation of risk premia for the continuous and jump components of
提供机构：
美国国家经济研究局
创建时间：
2020-11-01
