Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk
研究证券日收益的跨期交叉依赖如何影响系统风险的短区间效应，即收益测量间隔长度对系统风险估计的影响，并指出传统独立性假设在短间隔下不成立。
Statistical estimates of securities' systematic risk and the Market Model R2 are not invariant to the length of the differencing interval over which securities' returns are measured. This phenomenon, referred to as “The Intervaling Effect,†has been widely observed and discussed in the literature. Assuming that returns are multiplicative and independently distributed, Levhari and Levy [7] have developed a model that explains the intervaling effect on systematic risk for differencing intervals of one to 30 months. However, with intervals as, short as a day, their independence assumption does not usually hold.