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Current estimate of the covariance

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Suppose that the current daily volatilities of asset A and asset B are 2.76% and 2.44%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.32. The parameter λ used in the EWMA model is 0.95. (Round to four decimal places).

-The current estimate of the covariance between the assets is equal to _______ (answer).

Reference no: EM132607337

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