What should the value of lambda be in the exponentially...

Applied Economics 2015 / 02 Vol. 47; Iss. 8

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

Bollen, Bernard
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Volume:
47
Language:
english
Journal:
Applied Economics
DOI:
10.1080/00036846.2014.982853
Date:
February, 2015
File:
PDF, 232 KB
english, 2015
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