EWMA historical volatility estimators

MaRDI QIDQ3171477zbMATH OpenFDO

Authors Lucia Jarešová

Publication date 5 October 2011

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Recommendations

• The EWMA Heston model
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• Inference for asymmetric exponentially weighted moving average models
• Volatility estimation based on high-frequency data

Cited in

(2)

• Correlation estimation using components of Japanese candlesticks
• Estimating volatility on overlapping returns when returns are autocorrelated

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