Exponentially weighted covariance matrix 1.0

Date Added: July 11, 2013 | Visits: 173

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Calculates the RiskMetrics "Technical Document" (1996) exponentially weighted covariance matrix (p.179), correlation and volatilities.Input:data - needs to be in format T x k with T = # observations, k = # assetslambda = decay factor

Requirements: No special requirements

Platforms: Matlab

Keyword: Assets, Correlation, Decay, Factor, Format, Input, Lambda, Observations, Volatilities

Users rating: 0/10

License: Shareware

Size: 10 KB

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