Code for: Optimal Inference for Spot Regressions

Principal Investigator(s):  View help for Principal Investigator(s) Tim Bollerslev, Duke University; Jia Li, Singapore Management University; Yuexuan Ren, Singapore Management University

Version:  View help for Version V1

Name File Type Size Last Modified
  Code 07/03/2023 03:16:AM
README.pdf application/pdf 133.6 KB 11/19/2023 09:10:PM

Project Citation: 

Bollerslev, Tim, Li, Jia, and Ren, Yuexuan. Code for: Optimal Inference for Spot Regressions. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-02-14. https://doi.org/10.3886/E192481V1

Project Description

Summary:  View help for Summary This replication package contains the code for replicating all simulation and empirical results in the accompanying paper "Optimal Inference for Spot Regressions."
Funding Sources:  View help for Funding Sources Singapore Ministry of Education (22-SOE-SMU-016)

Scope of Project

Subject Terms:  View help for Subject Terms high frequency data; beta; optimal estimation; leveraged ETFs; event study
JEL Classification:  View help for JEL Classification
      C14 Semiparametric and Nonparametric Methods: General
      C22 Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
      C58 Financial Econometrics
      G14 Information and Market Efficiency; Event Studies; Insider Trading
Geographic Coverage:  View help for Geographic Coverage USA
Time Period(s):  View help for Time Period(s) 1/1/2018 – 12/31/2022
Collection Date(s):  View help for Collection Date(s) 1/1/2018 – 12/31/2022
Universe:  View help for Universe Index Exchange-Traded Funds (ETF) traded in the U.S. stock market. 
Data Type(s):  View help for Data Type(s) program source code

Methodology

Data Source:  View help for Data Source TICKDATA.COM
Unit(s) of Observation:  View help for Unit(s) of Observation One-minute stock returns

Related Publications

Download this project

Published Versions

V1 [2024-02-14]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.