Using Daily Stock Returns to Estimate the Unconditional and Conditional Variances of Lower-Frequency Stock Returns
Sign Up to like & getrecommendations! Published in 2025 at "Risks"
DOI: 10.3390/risks13100190
Abstract: If intraday price data are unavailable, then using daily returns to construct realized measures of the variances of lower-frequency returns is a natural substitute for using high-frequency returns in this context. Notably, a suitable application… read more here.
Keywords: lower frequency; variances lower; realized measures; stock returns ... See more keywords