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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Detalles Bibliográficos
Autores principales: Taylor, Stephen, Fang, Ming
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Original Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6245128/
https://www.ncbi.nlm.nih.gov/pubmed/30533400
http://dx.doi.org/10.1186/s41937-018-0023-1

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6245128/
https://www.ncbi.nlm.nih.gov/pubmed/30533400
http://dx.doi.org/10.1186/s41937-018-0023-1

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