It has been shown in this paper that the conditional variance of $X_{r+1\colon n}^{p}$ given $X_{r\colon n}=x$, is independent of x if and only if the distribution is ...
The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
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