Continuous Record Asymptotics for Rolling Sample Variance Estimators
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Publication:4715549
DOI10.2307/2171927zbMath0860.62101OpenAlexW3124803411MaRDI QIDQ4715549
Publication date: 23 April 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/statistics_papers/474
stochastic volatilityARCHconditional heteroskedasticityGARCHmeasurement erroroptimal weightsrolling regressionsasymptotically optimal window lengthsconditional covariances of asset returnscontinuous record asymptotic approximationsweighted rolling regressions
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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