Harris, Richard D.F.; Yilmaz, Fatih - In: International Journal of Forecasting 26 (2010) 1, pp. 180-194
This paper proposes a hybrid multivariate exponentially weighted moving average (EWMA) estimator of the variance-covariance matrix of returns. The proposed estimator employs a range-based EWMA specification to estimate the conditional variances of returns, and a standard return-based EWMA...