Continuous record asymptotics for rolling sample variance estimators

Econometrica

Volumn 64, Issue 1, 1996, Pages 139-174

  Foster, Dean P ^a   Nelson, Dan B ^a  

^a NONE

Author keywords

ARCH; Continuous record; Stochastic volatility

Indexed keywords

ARCH MODEL; ASSET PRICING; ASYMPTOTIC APPROXIMATION; NUISANCE PARAMETER; ROLLING REGRESSION; STOCK RETURNS;

FINANCE; MEASUREMENT ERRORS; REGRESSION ANALYSIS;

PARAMETER ESTIMATION;

EID: 0030360244     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171927     Document Type: Article

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