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
The main dataset consists of the exchange rate of Bitcoin (Bitstamp exchange) against the US dollar, sampled at an hourly frequency.The period of analysis extends from January 3, 2012 to April 5, 2019
We propose testing asset-pricing models using multi-horizon returns (MHR). MHR effectively generate a new set of test assets that are endogenous to the model and that identify a broad set of possible
The main dataset consists of the exchange rate of Bitcoin (Bitstamp exchange) against the US dollar, sampled at an hourly frequency.The period of analysis extends from January 3, 2012 to April 5, 2019