Continuous Record Asymptotics for Rolling Sample Variance Estimators
滚动样本方差估计量的连续记录渐近理论
It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodating conditional heteroskedasticity. One popular strategy is performing rolling regressions in which only data from, say, the preceding five year period is used to estimate the conditional covariance of returns at a given date. The authors develop continuous record asymptotic approximations for the measurement error in…