Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach (Q5012726)

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scientific article; zbMATH DE number 7433695
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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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