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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| File | |
| Title ( eng ) |
Iterative Method for Exponentially Weighted Rolling Regression
|
| Creator |
Kanatani Taro
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| Source Title |
Finance Research Letters
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| Volume | 1 |
| Issue | 3 |
| Start Page | 196 |
| End Page | 201 |
| Keywords |
Rolling regression
Iterative method
Realized volatility
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| 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.
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| NDC |
Public finance [ 340 ]
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| Language |
eng
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| Resource Type | journal article |
| Publisher |
Elsevier
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| Date of Issued | 2004-09 |
| Rights |
Copyright (c) 2004 Elsevier Inc. All rights reserved.
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| 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
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