Title: Adaptive inference in continuous-time asset pricing factor models
Authors: Shin Kanaya - University of Aarhus (Denmark) [presenting]
Dennis Kristensen - University College London (United Kingdom)
Yang Zu - University of Nottingham (United Kingdom)
Abstract: Using non- and semiparametric techniques, we develop a methodology for estimating and testing continuous-time multi-factor asset pricing models that may potentially contain non-stationary components. The proposed procedures are simple to implement and only involve computing (generalized) least-squares estimators and associated (robust) standard errors. We analyze the asymptotic properties of the estimators and test statistics and show that standard critical values can be employed. A simulation study compare our proposal with existing methods in the literature.