Question
Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of
Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.32. The parameterused in the EWMA model is 0.95. (Round to four decimal places).
Question
The current estimate of the covariance between the assets is equal to........
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur Keown, John Martin
12th edition
133423824, 978-0133423822
