Inference on Risk Premia in Continuous-Time Asset Pricing Models / Yacine Aït-Sahalia, Jean Jacod, Dacheng Xiu.

Format:

Book

Author/Creator:

Aït-Sahalia, Yacine.

Contributor:

National Bureau of Economic Research.

Jacod, Jean.

Xiu, Dacheng.

Series:

Working Paper Series (National Bureau of Economic Research) no. w28140.

NBER working paper series no. w28140

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

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 risks. Our results generalize the Fama-MacBeth two-pass regression approach from the classical discrete-time factor setting to a continuous-time factor model with general dynamics for the factors, idiosyncratic components and factor loadings, while accounting for the fact that the inputs of the second-pass regression are themselves estimated in the first pass.

Notes:

Print version record

November 2020.