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 ...
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 ...
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 ...
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