From: Unbiased weighted variance and skewness estimators for overlapping returns
n/q | 2 | 4 | 8 | 16 | 32 | 64 | 128 |
---|---|---|---|---|---|---|---|
32 | 14.24 | 33.14 | 68.01 | * | * | * | * |
64 | 7.08 | 16.55 | 35.36 | 69.79 | * | * | * |
128 | 3.53 | 8.25 | 17.71 | 36.47 | 70.67 | * | * |
256 | 1.76 | 4.11 | 8.83 | 18.29 | 37.03 | 71.12 | * |
512 | 0.88 | 2.05 | 4.41 | 9.12 | 18.58 | 37.31 | 71.34 |
1024 | 0.44 | 1.03 | 2.20 | 4.55 | 9.27 | 18.72 | 37.45 |
16384 | 0.03 | 0.06 | 0.14 | 0.28 | 0.58 | 1.16 | 2.34 |