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What should the value of lambda be in the exponentially weighted moving average volatility model?
12 references·0 citing·35 second hop
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this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1999Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon335 cited
  • 1997Forecasting Volatility283 cited
  • 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian192 cited
  • 2001Return to RiskMetrics: The Evolution of a Standard174 cited
  • 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian173 cited
  • 2009Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models111 cited
  • 2009Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model62 cited
  • 2003Robust estimation of the optimal hedge ratio57 cited

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