| Article ID: | iaor19982274 |
| Country: | Belgium |
| Volume: | 36 |
| Issue: | 1 |
| Start Page Number: | 3 |
| End Page Number: | 10 |
| Publication Date: | Jan 1996 |
| Journal: | Belgian Journal of Operations Research, Statistics and Computer Science |
| Authors: | Corhay A., Tourani-Rad A. |
We show the variability of beta estimates for each differencing interval. Betas depend on the manner daily prices are juxtaposed to calculate runs. A method is proposed to reduce this variability.