What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, after reading several papers where a rolling window is applied, I've not seen one mention anything about it. Is it because it is not necessary or is it "too simple"?
By rolling window I simply mean that, for instance, the the strategy is tested over a 6 month period, then rolled forward 1 month and from there tested over a 6 month period, etc.