In the (wonderful) book "The Dao of Capital", the author, M. Sptiznagel, describes at pag. 242 this procedure to estimate the crash losses and bootstrap standard errors that follow high MS Indices: Upon bucketing two-months returns by their starting MS index quartiles (over a 3 year window of overlapping two month returns following bucketing) and calculating the 2nd and 5th percentiles in each bucket, we see, again, that crashes follow distortion. Since he uses this kind of framework of data analysis several times in the book, I have some questions related to the data construction: why taking overlapping, instead of non-overlapping, 2-month returns within the 3-years window? do you think the 3-years windows , in which I guess the author is looking for a crash that will "adjust" the monetary distortion, are overlapping too ? If not, why? I understand that the author is doing the data analysis part with the "clock ticking" (p.229) since the aprioristic conclusions of the Austrian School are correct despite empirical results! Anyway, I would like to discuss pros and cons related to the 2 questions. Let me know if more details are needed. Thanks.