An unbiased variance estimator for overlapping returns
This paper gives an unbiased estimator of the variance of overlapping returns. The estimator improves upon that proposed in Lo and MacKinlay (1988) [LM] (which is widely used in practice), as the LM estimator is consistent but not unbiased in small samples. The relevance of unbiasedness for variance ratio tests in a simulation experiment is illustrated.
|Keywords||analysis of variance, rate of return, unbiased estimators|
|Persistent URL||dx.doi.org/10.1080/09603100110090127, hdl.handle.net/1765/2178|
Franses, Ph.H.B.F., Bod, P., Blitz, D.C., & Kluitman, R.. (2002). An unbiased variance estimator for overlapping returns. Applied Financial Economics, 155–158. doi:10.1080/09603100110090127