Continuous record asymptotics for rolling sample variance estimators.

It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodating conditional heteroskedasticity. Among the popular strategies are: (a) chopping the available data into short blocks of time and assumi...

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Detalles Bibliográficos

Publicado en:	Econometrica Vol. 64; pp. 139 - 175
Autores principales:	Foster, Dean P., Nelson, Daniel B.
Formato:	Artículo
Publicado:	Wiley-Blackwell January 1996
Materias:	Stochastic processes Statistical sampling Regression analysis Estimation theory Variances Stock price indexes Mathematical models Rate of return on stocks
Acceso en línea:	Ver este registro en EBSCOhost