Beta interval - PowerPoint PPT Presentation

Beta Estimate of High Frequency Data

Beta Estimate of High Frequency Data. Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University March 3, 2010. Data. XOM (Exxon Mobile) Dec 1 1999 – Jan 7 2009 (2264 days) GOOG (Google) Aug 20 2004 – Jan 7 2009 (1093 days) WMT (Wal-Mart)

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311 views • 22 slides

Comparing MSE: Optimal Sampling Frequency and Beta Interval

Comparing MSE: Optimal Sampling Frequency and Beta Interval. Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University March 31, 2010. Data &amp; Variables. SPY TGT, XOM, WMT (3 stocks) Aug 20 2004 – Jan 7 2009 (1093 days) Sampling frequency (SF) : 1 – 20 min.

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260 views • 15 slides

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