Inference on Risk Premia in Continuous-Time Asset Pricing Models

Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu

No 28140, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using individual equity returns sampled at high frequencies over an increasing time horizon. We study the identification and estimation of risk premia for the continuous and jump components of risks. Our results generalize the Fama-MacBeth two-pass regression approach from the classical discrete-time factor setting to a continuous-time factor model with general dynamics for the factors, idiosyncratic components and factor loadings, while accounting for the fact that the inputs of the second-pass regression are themselves estimated in the first pass.

JEL-codes: C51 C52 C58 G12 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-ecm and nep-ore
Note: AP
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Citations: View citations in EconPapers (5)

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