Continuous Record Asymptotics for Rolling Sample Variance Estimators
收藏NBER1994-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0163
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资源简介：
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) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)
提供机构：
美国国家经济研究局
创建时间：
1994-08-01
