An unbiased variance estimator for overlapping returns

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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Year of publication:	2002
Authors:	Bod, Pauline ; Blitz, David ; Franses, Philip Hans ; Kluitman, Roy
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 12.2002, 3, p. 155-158
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206942