TITLE:
Distributed Estimator of Market Beta under Extreme Conditions
AUTHORS:
Suyu Zhu
KEYWORDS:
Heavy Tail, Tail Dependence, Distributed Statistical Inference, Market Beta
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.11 No.11,
November
28,
2023
ABSTRACT: Market beta is a measure of the volatility or systematic risk of a security or portfolio compared to the market as a whole. This paper considers the distributed estimation of market beta in the case of massive data, and obtains the consistency and asymptotic normality of the estimator. Further, simulations show the finite sample properties of this estimator.