Continuous Record Asymptotics for Rolling Sample Variance Estimators (Q4715549)
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scientific article; zbMATH DE number 946624
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous Record Asymptotics for Rolling Sample Variance Estimators |
scientific article; zbMATH DE number 946624 |
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Continuous Record Asymptotics for Rolling Sample Variance Estimators (English)
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23 April 1997
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stochastic volatility
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ARCH
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conditional covariances of asset returns
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conditional heteroskedasticity
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GARCH
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continuous record asymptotic approximations
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measurement error
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asymptotically optimal window lengths
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rolling regressions
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optimal weights
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weighted rolling regressions
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