Assume we have an EWMA estimator with a decay factor of 0.96 and 50 data points. What

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Assume we have an EWMA estimator with a decay factor of 0.96 and 50 data points.

What percentage of the weight is captured with this estimator, compared to an estimator with the same decay factor and an infinite length?

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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Assume we have an EWMA estimator with a decay factor of 0.96 and 50 data points. What

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Quantitative Financial Risk Management

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