Continuous Record Asymptotics for Rolling Sample Variance Estimators

Continuous Record Asymptotics for Rolling Sample Variance Estimators (1996)

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by Dean Foster , Dan Nelson

Venue:	Econometrica
Citations:	67 - 0 self

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@ARTICLE{Foster96continuousrecord,
    author = {Dean Foster and Dan Nelson},
    title = {Continuous Record Asymptotics for Rolling Sample Variance Estimators},
    journal = {Econometrica},
    year = {1996},
    volume = {64},
    pages = {139--174}
}

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Abstract

It is widely known that conditional covariances of asset returns change over time.

Citations

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