Newey-West Covariance Matrix (Intuition and Computation)

[@shijieli-y9d]

thanks!!!

[@aghamehmanhajiyev3705]

very good! thanks for this.

[@FinLogan]

Thanks! All credit to Dr. Boyer haha

[@FinLogan]

If you'd prefer a more formal write-up. I put the single variable case here www.loganbnielsen.com/finance/NeweywestCovarianceMatrixPart1 and the multivariate case here www.loganbnielsen.com/finance/NeweywestCovarianceMatrixPart2