What should the value of lambda be in the exponentially weighted moving average volatility model?
Year of publication: |
2015
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Authors: | Bollen, Bernard |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 7/9, p. 853-860
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Subject: | EWMA | volatility | lambda | value-at-risk | Volatilität | Volatility | Theorie | Theory | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
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