Double-Decay Covariance Matrix
This function computes the covariance matrix using two different decay factors.
DoubleDecay(x, decay_low, decay_high)
x: A set of relevant risk drivers.decay_low: A numeric value with the low decay (long half-life).decay_high: A numeric value with the high decay (short half-life).A list with the posterior mean ans sigma.
A common practice is to estimate the covariance of the risk drivers using a high decay (short half-life) for the volatilities and a low decay (long half-life) for the correlations.