Empirical Analysis on the Effects of Jumps on Realized Beta and the Disentanglement of Jump Beta1
By Hao Sun This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or jumps, in stock prices. To complete the analysis on effect of jump on Realized Beta, this paper also […]
