Work

What should the value of lambda be in the exponentially weighted moving average volatility model?

Year: 2014

Type: article

Source: Applied Economics

DOI: 10.1080/00036846.2014.982853

Author: Bernard Bollen

Institution: University of New England

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2022162175

FWCI: 0.61

Cites: 13

Cited by: 25

Related to: 10