EWMA historical volatility estimators

zbMATH Open1344.62009MaRDI QIDQ3171477FDOQ3171477

Authors: Lucia Jarešová 

Publication date: 5 October 2011

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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)

Cited In (2)

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

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