20.22. What is the effect of changing l from 0.94 to 0.97 in the EWMA calculations in...

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20.22. What is the effect of changing l from 0.94 to 0.97 in the EWMA calculations in the four-index example at the end of Section 20.6. Use the spreadsheets on the author’s website.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 09:00 AM

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20.22. What is the effect of changing l from 0.94 to 0.97 in the EWMA calculations in...

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Fundamentals Of Futures And Options Markets

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