Estimating the Risk-Return Trade-off with Overlapping Data Inference
收藏NBER2014-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w19969
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资源简介：
Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while maintaining
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美国国家经济研究局创建时间：
2014-03-01
