Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

Keyphrases

• Risk Factors 100%
• Nonparametric Test 100%
• Semimartingale 100%
• High-frequency Data 100%
• Covariation 66%
• Bivariate 33%
• Asymptotic Behavior 33%
• Continuous Variation 33%
• Martingale 33%
• High-frequency Observations 33%
• Shrinking Time 33%
• Residual Components 33%
• Rate Optimality 33%
• Smoothness Class 33%

Mathematics

• Nonparametric Test 100%
• High-Frequency Data 100%
• Optimality 50%
• Bivariate 50%
• Fixed Time Interval 50%
• Residuals 50%
• Asymptotic Behavior 50%