Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures

Jan Patrick Hartkopf, Laura Reh

Year of publication:	2023
Authors:	Hartkopf, Jan Patrick ; Reh, Laura
Published in:	Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 56.2023, p. 1-6
Subject:	EWMA \| Exponentially weighted moving average \| Matrix-F distribution \| Prediction \| Realized covariance \| RiskMetrics \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Varianzanalyse \| Analysis of variance \| Prognoseverfahren \| Forecasting model

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