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Unbiased weighted variance and skewness estimators for overlapping returns

Stephen Taylor1, Ming Fang1

  • 1Martin Tuchman School of Management at the New Jersey Institute of Technology, Newark, NJ USA.

Swiss Journal of Economics and Statistics
|December 12, 2018
PubMed

Keywords:
Asset returnsOverlapping returnsVariance and skewness estimationWeighted estimators

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