Continuous Record Asymptotics for Rolling Sample Variance Estimators
نویسندگان
چکیده
منابع مشابه
Continuous Record Asymptotics for Rolling Sample
It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodatingcon-ditional heteroskedasticity. Among the popular strategies are: (a) chopping the available data into short blocks of time and assuming homoskedasticity within the blocks, (b) performing one-sided rolling regressions, in which only d...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1996
ISSN: 0012-9682
DOI: 10.2307/2171927