The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
This issue of the Journal of Risk contains four long papers dealing with market risk management. The first paper, “Risk estimation using the normal inverse Gaussian distribution”, by P. J. de Jongh ...
There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
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