Iterative Method for Exponentially Weighted Rolling Regression
Use this link to cite this item : https://ir.lib.hiroshima-u.ac.jp/00014541
ID | 14541 |
file | |
creator |
Kanatani, Taro
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subject | Rolling regression
Iterative method
Realized volatility
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NDC |
Public finance
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description | 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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journal title |
Finance Research Letters
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volume | Volume 1
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issue | Issue 3
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start page | 196
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end page | 201
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date of issued | 2004-09
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publisher | Elsevier
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issn | 1544-6123
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language |
eng
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nii type |
Journal Article
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HU type |
Journal Articles
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DCMI type | text
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format | application/pdf
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text version | author
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rights | Copyright (c) 2004 Elsevier Inc. All rights reserved.
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relation is version of URL | http://dx.doi.org/10.1016/j.frl.2004.04.002
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department |
Graduate School of Social Sciences
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