View Author
Kluitman, R.
( R. Kluitman)
return variance estimator equation 1.0 value estimators 5.1 mackinlay variance estimators table 2.0 t ¢ yt 4.0 ratio result factor 5.2 correction example market simulation parameter 5.4 5.0 sample 0.9 8.0 hypothesis experiment variance ratio test 10.0 dynamic model analysis 16.0 simulation experiment volatility 10.2 1.8 franse expression journal kluitman q-period princeton university press correction factors data points equations 12 returns yi equation 5 exchange rates 1¡» variance ratio tests method variance ratios lm estimator 2 ‡ ¢ 5.3 1.7 estimate 3.9 autocorrelated 32.0 paper 7.5 rst-order dynamics 2.98 2.4 variance estimator portfolio management 1.1 error 0.99 martingale hypothesis 9.8 1 2 bbfk estimator 1.4 8.9
2 Most Recent Publications
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Estimating volatility on overlapping returns when returns are autocorrelated.
(Article)
Franses, Ph.H.B.F. Kluitman, R. |
2002-09-01
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An unbiased variance estimator for overlapping returns
(Article)
Franses, Ph.H.B.F. Bod, P. Blitz, D.C. Kluitman, R. |
2002-03-01
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