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Unbiased weighted variance and skewness estimators for overlapping returns
This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies 1:41-66,...
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| Udgivet i: | Swiss J Econ Stat |
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| Main Authors: | , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Springer International Publishing
2018
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6245128/ https://ncbi.nlm.nih.gov/pubmed/30533400 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s41937-018-0023-1 |
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