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5
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0answers
382 views

Fitting Student t-distributions to log-returns

It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
4
votes
0answers
222 views

Estimation of ranks of log-returns via copula

I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
1
vote
0answers
34 views

R:log return calculation for panel data structure

I have a long form panel for hourly prices of stocks. I want to do log return calculation for this panel data structure. This is sample data: ...
1
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0answers
49 views

Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
1
vote
0answers
199 views

Monte Carlo simulation returns not normal distributed

I am generating 100,000 paths of SPX out to 1 year using Euler discretization. I look at how S is distributed for 100,000 paths at the 1 year point and I find it is lognormally distributed. I look at ...
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0answers
69 views

Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
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0answers
20 views

Annualized log return for Equity

I came across an old question answered here My question is theoretical. I'm not a mathematician/quant professional so please excuse my lack of knowledge. I've read a few papers on forecasting equity ...
0
votes
0answers
33 views

Variance of a portfolio based on log-returns

Modern Portfolio Theory Optimization Problem is based on expected linear returns and covariances of linear returns. That's said, variance and expected return of a portfolio based on linear returns r ...
0
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0answers
80 views

Log returns vs Relativizing to Portfolio size of $1

In a current empirical research project, I am tracking a non-parametric measure of a transaction cost. To this extent, I track this cost in two ways Cost in terms of log returns Cost in terms of ...