Recursive estimation of the exponentially weighted moving average model
Radek Hendrych and Tomáš Cipra
| Year of publication: |
2019
|
|---|---|
| Authors: | Hendrych, Radek ; Cipra, Tomáš |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 21.2018/2019, 6, p. 43-67
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| Subject: | exponentially weighted moving average (EWMA) model | predictions | realized volatility | recursive estimation | RiskMetrics | Schätztheorie | Estimation theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2019.413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012117479