As of Thursday's close, the volatility of Asset A is 2% per day and the volatility of Asset B is 1% per day. Also the covariance between assets is 0.0001. During Friday, asset A produces a return of 3% and asset B produces a return of zero. An EWMA model is used with λ= 0.9. Answer the following questions giving a precision of two decimal places. What is an estimate of the correlation between assets at Friday's close?

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To estimate the correlation between assets at Fridays close we ... View the full answer