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
|
| volume | Volume 1
|
| issue | Issue 3
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| start page | 196
|
| end page | 201
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| date of issued | 2004-09
|
| publisher | Elsevier
|
| 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
|
| 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
|
