Posts Tagged ‘ time-adjusted returns ’

Volatility estimation and time-adjusted returns

December 15, 2011
Volatility estimation and time-adjusted returns

Do non-trading days explain the mystery of volatility estimation? Previously The post “The volatility mystery continues” showed that volatility estimated with daily data tends to be larger (in recent years) than when estimated with lower frequency returns. Time adjusting One of the comments — from Joseph Wilson — was that there is a problem with … Continue reading...

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