Estimating the Conditional CAPM with Overlapping Data Inference

@inproceedings{Hedegaard2013EstimatingTC,
title={Estimating the Conditional CAPM with Overlapping Data Inference},
author={Esben Hedegaard and W. P. Carey and Jeffrey T Hodrick},
year={2013}
}

Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while maintaining the monthly or quarterly forecasting period, and we apply it to the conditional CAPM. Our approach recognizes that the first order conditions of MLE can be used as orthogonality conditions of GMM… CONTINUE READING

show that the classical strong GARCH definition is not closed under temporal aggregation (Example 3), but that the class of symmetric weak GARCH models is (Example