2002-03-01
An unbiased variance estimator for overlapping returns
Publication
Publication
Applied Financial Economics p. 155- 158
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.
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| doi.org/10.1080/09603100110090127, hdl.handle.net/1765/2178 | |
| ERIM Article Series (EAS) | |
| Applied Financial Economics | |
| Organisation | Erasmus Research Institute of Management |
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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
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