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fmultivar
2007 Jul 03
2
EWMA in fMultivar
Hello, I would like to use the function EWMA() in the fMultivar Package and I
have a series of data x, which is the returns series. Basically, I would
like to get the variance estimation using EWMA.
I am trying something like EWMA(x, lambda) and I have a couple of questions:
Should x be the returns series or price series in my case?
When I get the result, there are the same numbers of data