Taylor, Stephen; Fang, Ming - In: Swiss Journal of Economics and Statistics 154 (2018) 1, pp. 2-8
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...
