What is the half-life of an EWMA estimator with a decay factor of 0.96 and 32 data
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What is the half-life of an EWMA estimator with a decay factor of 0.96 and 32 data points? What is the length of a rectangular window with the most similar half-life?
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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