Hi David,
I reviewed your answer again. Got a new question mark this time about this sentence:
because EWMA (without simulating future return innovations) doesn't model a long-term variance or otherwise contain any forward-looking mechanism.
Are you saying EWMA is not simulating future...
Hi,
In Linda Allen chapter 2, I am confused on the question 4 right after the note. It's saying EWMA can only project the current volatility into future.
Doesn't that conflict of ' EWMA can not forecast'? Feel like i miss some logic points here.
Thanks...
Hi,
In Chapter 4 of Miller, it says
If two normal distributions have the same mean, they combine (mix) to produce mixture
distribution with leptokurtosis (heavy-tails). Otherwise, mixtures are infinitely flexible.
what does that 'otherwise' mean? Does it mean if those two normals have...
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