Iterative Method for Exponentially Weighted Rolling Regression

Finance Research Letters Volume 1 Issue 3 Page 196-201 published_at 2004-09
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Title ( eng )
Iterative Method for Exponentially Weighted Rolling Regression
Creator
Kanatani Taro
Source Title
Finance Research Letters
Volume 1
Issue 3
Start Page 196
End Page 201
Keywords
Rolling regression
Iterative method
Realized volatility
Descriptions
This note proposes an iterative method for exponentially weighted rolling regression (EWRR), which was proved to be an optimal estimator of volatility by Foster and Nelson [Econometrica 64 (1996)]. The method accelerates the numerical evaluation of EWRR under certain circumstances. An alternative to usual realized volatility is proposed for its application.
NDC
Public finance [ 340 ]
Language
eng
Resource Type journal article
Publisher
Elsevier
Date of Issued 2004-09
Rights
Copyright (c) 2004 Elsevier Inc. All rights reserved.
Publish Type Author’s Original
Access Rights open access
Source Identifier
[ISSN] 1544-6123
[DOI] http://dx.doi.org/10.1016/j.frl.2004.04.002 isVersionOf