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At the end of Thursday, the estimated covariance between assets A and B is 0.0002. During Friday asset A produces a return of 4% and
At the end of Thursday, the estimated covariance between assets A and B is 0.0002. During Friday asset A produces a return of 4% and asset B produces a return of 3%. An EWMA model with lambda equal to 0.9 is used. What is an estimate of the covariance at the end of Friday? [4 marks] Select one: O a. 0.000030 ob. 0.000090 O c. 0.0090 O d. 0.0030 O e. 0.00030
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