At the End of Thursday,the Estimated Covariance Between Assets a and B

question 10

Multiple Choice

At the end of Thursday,the estimated covariance between assets A and B is 0.0001.During Friday asset A produces a return of 3% and asset B produces a return of zero.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the covariance at the end of Friday?

• A) 0.000090
• B) 0.000081
• C) 0.000100
• D) 0.000095

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