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