Tagged Questions
6
votes
1answer
132 views
What tradeoff is there to using an accurate estimate with a large confidence interval?
I am working on calibrating a Heston model from simulated historical stock data.
After obtaining an accurate estimate of the model parameters I found very large 95% confidence intervals for these ...
2
votes
1answer
100 views
How to reconstruct a discontinued economic time series such as the Fed's CP rate?
The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.
I was ...
4
votes
2answers
1k views
How can I estimate the degrees of freedom for a Student's T distribution?
I am doing research estimating the value at risk for non-normally distributed assets. I need help in the process of estimating the parameters of Student's t distribution and which method to use. I ...
6
votes
2answers
309 views
Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Arbitrage pricing theory states that expected returns for a security are linear combination of exposures to risk factors and the returns on these risk factors. Betas, or the exposures of the security ...
