Listagem FGV EESP - Escola de Economia de São Paulo por autor "Corradi, Valentina"
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Conditional alphas and realized betas
Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
2013-12-06This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas ...


