Exponentially Weighted Moving Average Model (EWMA)

Forecast an (averaged) asset covariance matrix using an exponentially weighted moving average (EWMA) model.

References

• Kasper Johansson, Mehmet G. Ogut, Markus Pelger, Thomas Schmelzer and Stephen Boyd (2023), A Simple Method for Predicting Covariance Matrices of Financial Returns, Foundations and Trends® in Econometrics: Vol. 12: No. 4, pp 324-407
• Gianluca De Nard, Olivier Ledoit, Michael Wolf, Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, Volume 19, Issue 2, Spring 2021, Pages 236–257