# Tagged Questions

The tag has no usage guidance.

5k views

### R code for Ornstein-Uhlenbeck process

Can any one help me with some R code to run Ornstein-Uhlenbeck process?
451 views

51 views

### GARCH Model Constant in Regression

When regressing a variable on a constant of 1, the coefficient of this constant is the mean. However, when I specified that the residuals follow a GARCH(1,1) model, the coefficient of the constant ...
18 views

### Test for significant differences between two insignificant means?

I have made 2 portfolios for which I tested whether it was possible to realize excess returns. For both portfolios, I find that no excess returns are to be realized: the t-statistic is usually around ...
I am trying to forecast the conditional mean from a ARMA(1,0)-GARCH(1,1) model. The mean equation in my model is: $x_t = \mu + \delta x_{t-1} + h_t \epsilon_t$ where x is the variable (a return ...
How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...