Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach (Q5012726)
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scientific article; zbMATH DE number 7433695
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach |
scientific article; zbMATH DE number 7433695 |
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Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach (English)
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25 November 2021
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conditional covariance matrix
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exponentially weighted moving average (EMWA)
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intraday range
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realized volatility
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