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 |
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| default for all languages | No label defined |
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| 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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0.8014664053916931
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0.759869396686554
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0.7594340443611145
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0.7518765926361084
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