Continuous Record Asymptotics for Rolling Sample Variance Estimators
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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)
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美国国家经济研究局创建时间：
1994-08-01
