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Realized jump beta: Evidence from high-frequency data on Tokyo Stock Exchange
http://hdl.handle.net/10723/00004052
http://hdl.handle.net/10723/0000405235d3f2b8-f2f6-4c7c-bf31-1f673ea642ea
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
keizai_161_155-168.pdf (363.4 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2021-03-08 | |||||||
| タイトル | ||||||||
| タイトル | Realized jump beta: Evidence from high-frequency data on Tokyo Stock Exchange | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Jump beta | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Market jump variation | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Jump covariation | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | High-frequency data | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
| 資源タイプ | departmental bulletin paper | |||||||
| 著者 |
UBUKATA, Masato
× UBUKATA, Masato
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| 著者別名 | ||||||||
| 識別子Scheme | WEKO | |||||||
| 識別子 | 7555 | |||||||
| 姓名 | 生方, 雅人 | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This study measures the realized jump beta of sector portfolios constructed from Japanese high-frequency intraday data to assess the dynamics in jump beta aggregated over fixed intervals of time. When we test the null hypothesis that jump beta remains constant over time, the result strongly rejects the constancy of annually aggregated jump beta, but does not frequently reject that of monthly jump beta. Given the worldwide evidence of fractional integration in realized variance and covariance, the estimation result under the assumption of a pure fractional noise process of the monthly jump beta indicates a smaller average degree of integration, namely ARFIMA（0, 0.2,0）, than that of a total realized beta largely including diffusive risk component of asset returns. Moreover, the jump beta might be naturally modeled as a stationary I(0) process. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 【論文／Articles】 | |||||||
| 書誌情報 |
明治学院大学経済研究 = The papers and proceedings of economics 巻 161, p. 155-168, 発行日 2021-01-31 |
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| ISSN | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1349-483X | |||||||
| 書誌レコードID | ||||||||
| 収録物識別子タイプ | NCID | |||||||
| 収録物識別子 | AA11966517 | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 出版者 | ||||||||
| 出版者 | 明治学院大学経済学会 | |||||||
| 資源タイプ | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Article | |||||||
