TY - JOUR
T1 - Unbiased weighted variance and skewness estimators for overlapping returns
AU - Taylor, Stephen
AU - Fang, Ming
N1 - Publisher Copyright:
© 2018, The Author(s).
PY - 2018/12/1
Y1 - 2018/12/1
N2 - This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies 1:41-66, 1988). In addition, they may be used in overlapping return variance or skewness ratio tests as in Charles and Darné (Journal of Economic Surveys 3:503-527, 2009) and Wong (Cardiff Economics Working Papers, 2016). An example using synthetic overlapping returns from a model fit to data from the SPY S&P 500 exchange traded fund is given in order to demonstrate under which circumstances the unbiased correction becomes significant in skewness estimation. Finally, we compare the effect of the HAC weighting schemes of Andrews (Econometrica 53:817-858, 1991) as a function of sample size and overlapping return window length.
AB - This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies 1:41-66, 1988). In addition, they may be used in overlapping return variance or skewness ratio tests as in Charles and Darné (Journal of Economic Surveys 3:503-527, 2009) and Wong (Cardiff Economics Working Papers, 2016). An example using synthetic overlapping returns from a model fit to data from the SPY S&P 500 exchange traded fund is given in order to demonstrate under which circumstances the unbiased correction becomes significant in skewness estimation. Finally, we compare the effect of the HAC weighting schemes of Andrews (Econometrica 53:817-858, 1991) as a function of sample size and overlapping return window length.
KW - Asset returns
KW - Overlapping returns
KW - Variance and skewness estimation
KW - Weighted estimators
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U2 - 10.1186/s41937-018-0023-1
DO - 10.1186/s41937-018-0023-1
M3 - Article
AN - SCOPUS:85067875517
VL - 154
JO - Swiss Journal of Economics and Statistics
JF - Swiss Journal of Economics and Statistics
IS - 1
M1 - 21
ER -