Exponentially weighted covariance matrix (Scripts) Publisher's description
from Tina Yener
Calculates the RiskMetrics "Technical Document"
Calculates the RiskMetrics "Technical Document" (1996) exponentially weighted covariance matrix (p.179), correlation and volatilities.
data - needs to be in format T x k with T = # observations, k = # assets
lambda = decay factor
System Requirements:MATLAB 7.13 (2011b)
Program Release Status: New Release
Program Install Support: Install and Uninstall