Covariance Matrix Forecasting: Iterated Exponentially Weighted Moving Average Model
In the previous post of this series on covariance matrix forecasting, I reviewed both the simple and the exponentially weighted moving average covariance mat...
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From Volatility Forecasting to Covariance Matrix Forecasting: The Return of Simple and Exponentially Weighted Moving Average Models
In the initial post of the series on volatility forecasting, I described the simple and the exponentially weighted moving average forecasting models, that a...
Capital Market Assumptions: Combining Institutions’ Forecasts for Improved Accuracy
Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leadi...
Volatility Forecasting: HAR Model
Among the different members of the family of volatility forecasting models by weighted moving average1 like the simple and the exponentially weighted moving...
Combating Volatility Laundering: Unsmoothing Artificially Smoothed Returns
Introduction It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly seri...