Tagged Questions
6
votes
3answers
371 views
How to account for jumps in intraday data when calculating beta?
I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling
\begin{equation}
Y = \beta * X + c
\end{equation}
where $Y$ is the return of XLF ...
6
votes
2answers
171 views
How well does CAPM beta track the risk of a particular market relative to world markets?
Can the CAPM beta of emerging markets be less than the beta of the developed markets?
As part of my research, I run regressions using market indices. I estimate the beta using a regression of MSCI ...
