spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\small5\caption{Rolling Realized Beta Change Regressions (30-min Window)}6\label{ch3:tab:rolling_delta_beta_30min}7\begin{threeparttable}8\begin{tabular}{lcccccc}9\toprule10 & VIX Futures & 10Y T-Note & 5Y T-Note & Dollar Index & Crude Oil WTI & Gold \\11\midrule12Intercept & -0.2364 & 0.0098 & -0.0025 & 0.0058 & -0.0933 & 0.1275* \\13 & (0.1651) & (0.0192) & (0.0134) & (0.0074) & (0.0650) & (0.0758) \\14Stance & -0.0190 & 0.0118 & 0.0195 & 0.0137 & -0.0008 & 0.1244 \\15 & (0.2653) & (0.0198) & (0.0158) & (0.0093) & (0.0891) & (0.0869) \\16Novelty & 0.1096 & -0.0096 & -0.0064 & -0.0086 & -0.1290 & -0.0539 \\17 & (0.0917) & (0.0102) & (0.0073) & (0.0075) & (0.1020) & (0.0344) \\18Stance $\times$ Novelty & -0.0818 & 0.0064 & 0.0074 & 0.0011 & -0.1772 & -0.0852 \\19 & (0.1018) & (0.0118) & (0.0074) & (0.0080) & (0.2106) & (0.0755) \\20\midrule21$N$ & 71 & 88 & 88 & 88 & 88 & 87 \\22$R^2$ & 0.009 & 0.003 & 0.008 & 0.045 & 0.064 & 0.047 \\23Adj.\ $R^2$ & -0.036 & -0.033 & -0.027 & 0.010 & 0.031 & 0.013 \\24\bottomrule25\end{tabular}26\begin{tablenotes}[flushleft]27\small28\item \textit{Notes:} Dependent variable: $\Delta\hat{\beta}$ (change in rolling realized beta relative to ES, 30-min window). Coefficients are in beta units; a coefficient of $0.12$ means that a one-standard-deviation increase in the regressor is associated with a $0.12$ increase in co-movement with the S\&P~500. All regressors z-scored. Clustered SE in parentheses. Stars: BH-adjusted $p$-values. Semantic measures from MiniLM--BERT ensemble.29\item $^{***}p<0.01$, $^{**}p<0.05$, $^{*}p<0.10$.30\end{tablenotes}31\end{threeparttable}32\end{table}33\end{landscape}34