Recursive estimation of the exponentially weighted moving average model
Year of publication: |
2019
|
---|---|
Authors: | Hendrych, Radek ; Cipra, Tomáš |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 6, p. 43-67
|
Subject: | exponentially weighted moving average (EWMA) model | predictions | realized volatility | recursive estimation | RiskMetrics | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
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