The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
ABSTRACT: In many applications a heterogeneous population consists of several subpopulations. When each subpopulation can be adequately modeled by a heteroscedastic single-index model, the whole ...
This issue of the Journal of Risk contains four long papers dealing with market risk management. The first paper, “Risk estimation using the normal inverse Gaussian distribution”, by P. J. de Jongh ...
It leverages the conditional front-door adjustment (CFD), which theoretically gaurantees lower variance estimates than the commonly used standard backdoor adjustment (CFD) when the true treatment ...
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