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DTSTART;TZID=Europe/Helsinki:20260909T004500
DTEND;TZID=Europe/Helsinki:20260909T140000
DTSTAMP:20260714T100317
CREATED:20260713T105337Z
LAST-MODIFIED:20260713T111212Z
UID:10578-1788914700-1788962400@economics.uc3m.es
SUMMARY:Realized autoregressive conditional betas by Mariia Artemova\, Christian Francq and Sébastien Laurent
DESCRIPTION:Christian Francq\n(ENSAE)\n  \n“Realized autoregressive conditional betas by Mariia Artemova\, Christian Francq and Sébastien Laurent”\nWe propose a new model called RACB (Realized Autoregressive Conditional Beta) to model the dynamics of slope parameters (or betas) in a linear regression model with heteroscedastic errors. The proposed model is a quasi score-driven model obtained by modelling the joint distribution of the endogenous variable and the realized betas\, conditional on the explanatory variables and under the assumption that the realized betas are unbiased estimators of the conditional betas.\nThe proposed model extends the Autoregressive Conditional Beta (ACB) model by conditioning the betas on lagged realized betas and by shrinking the conditional betas towards the realized betas.\nWe establish the key stochastic properties of the data generating process and the associated filter\, and argue that the contraction condition for invertibility is not only sufficient but also almost necessary. We also show that when realized betas are not observed for certain observations\, replacing them with the conditional betas is optimal in the Kullback–Leibler divergence sense.\nEmpirically\, for 37 large U.S.\ stocks in a Fama–French three-factor setting\, the RACB model achieves the best performance in a tracking portfolio exercise as it is the most frequently retained model in the Model Confidence Set.\nFace to Face 15.2.71  –  Room 15.1.39
URL:https://economics.uc3m.es/event/realized-autoregressive-conditional-betas-by-mariia-artemova-christian-francq-and-sebastien-laurent/
LOCATION:15.1.39
CATEGORIES:Econometrics Seminar
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