Continuous Record Asymptotics for Rolling Sample Variance Estimators (Q4715549)

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scientific article; zbMATH DE number 946624
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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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