Swiss Journal of Economics and Statistics

Table 2 Comparison of unbiased overlapping return standard deviation and skewness estimators as a function of weighting scheme, sample size n, and overlapping return period q

From: Unbiased weighted variance and skewness estimators for overlapping returns

	n=256			n=512			n=1024
	q=5	q=21	q=63	q=5	q=21	q=63	q=5	q=21	q=63
Std(%)
U	1.764	3.146	4.086	1.885	3.459	5.225	1.729	3.130	4.387
BT	2.167	3.810	4.359	1.999	3.519	5.330	1.611	2.847	3.845
PR	2.409	4.321	4.679	1.894	3.196	4.963	1.512	2.634	3.260
TK	2.215	3.892	4.388	1.997	3.480	5.328	1.556	2.730	3.501
QS	2.038	3.561	4.246	2.001	3.555	5.380	1.648	2.930	3.978
Skewness
U	− 0.489	− 0.296	0.356	− 1.038	− 0.356	− 0.467	− 0.858	− 0.400	− 0.866
BT	− 0.612	− 0.525	0.299	− 1.200	− 0.310	− 0.343	− 0.748	− 0.401	− 0.985
PR	− 0.582	− 0.752	0.294	− 1.355	− 0.387	− 0.668	− 0.508	− 0.335	− 0.488
TK	− 0.616	− 0.623	0.334	− 1.280	− 0.308	− 0.316	− 0.610	− 0.328	− 0.801
QS	− 0.601	− 0.446	0.318	− 1.184	− 0.298	− 0.318	− 0.791	− 0.401	− 0.986

Here, we use the following abbreviations for different kernel based weighting schemes: U uniform, BT Bartlett, PR Parzen, TK Tukey-Hanning, and QS Quadratic Spectral

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