Bod, Pauline; Blitz, David; Franses, Philip Hans; … - In: Applied Financial Economics 12 (2002) 3, pp. 155-158
This paper gives an unbiased estimator of the variance of overlapping returns. The estimator improves upon that proposed in Lo and MacKinlay (1988) [LM] (which is widely used in practice), as the LM estimator is consistent but not unbiased in small samples. The relevance of unbiasedness for...
