The tag has no wiki summary.

learn more… | top users | synonyms

2
votes
0answers
69 views

Empirical distribution function of overlapping time series data

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...
0
votes
0answers
47 views

How to get get weekly returns from daily data

Good day I would like to get weekly returns data from daily data , I want to use the Wednesday-to-Wednesday approach – the returns (rt) are computed from the Wednesday closing prices Pt , i.e., rt = ...