most citedNonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data

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math.ST2014★ 2 cited

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

Markus Reiß, Viktor Todorov, George Tauchen

We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the…