It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chop
Li, Jia, Wang, Dishen, and Zhang, Qiushi, (2024) “Reading the Candlesticks: An OK Estimator for Volatility.” Review of Economics and Statistics 106:4, 1114–1128.
