Estimating volatility on overlapping returns when returns are autocorrelated
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References listed on IDEAS
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
Review of Financial Studies,
Society for Financial Studies, vol. 1(1), pages 41-66.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Pauline Bod & David Blitz & Philip Hans Franses & Roy Kluitman, 2002. "An unbiased variance estimator for overlapping returns," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 155-158.
More about this item
KeywordsAsset Returns; Random Walk; First-ORDER Dynamics; Overlapping Returns;
StatisticsAccess and download statistics
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