Unbiased weighted variance and skewness estimators for overlapping returns

Unbiased weighted variance and skewness estimators for overlapping returns

Abstract 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...

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Bibliographic Details
Main Authors: Stephen Taylor, Ming Fang
Format: Article
Language:English
Published: SpringerOpen 2018-11-01
Series:Swiss Journal of Economics and Statistics
Subjects:
Overlapping returns
Variance and skewness estimation
Asset returns
Weighted estimators
Online Access:http://link.springer.com/article/10.1186/s41937-018-0023-1

Internet

http://link.springer.com/article/10.1186/s41937-018-0023-1

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