I have an event that takes place over a period of a few days, and I want to estimate the effect it has on market volatility using intraday data with one minute frequency. The problem is, that e.g. ...
Least Median Squares is often argued to give more stable results than does OLS. Whereas in OLS one minimises the mean of squared residuals, in LMS, one instead minimises the median of squared ...
I have a bunch of time series; i need to clean them before modelling. So far I just know the “filtering/smoothing” method : -Ex: moving average methodology (filter the data with a moving average ...
I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios. My CAPM estimated on monthly total gross ...
Assume that we have current month term curve and the curves from the two previous months. The current curve may be shifted from the average of the previous two curve by some value (a parallel shift). ...