Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
, CAPM,
equity betas, long memory, nonlinear fractional cointegration, continuous-time methods.
1
The Roll (1977 … return sampling frequencies.
Suppose that the logarithmic N×1 vector price process, p
t
, follows a multivariate continuous-time … annihilating the
mean.
These assertions remain valid if the underlying continuous time process in equation (1) contains
jumps, so …