Tagged Questions
3
votes
2answers
189 views
Why use market capitalization weighted index over PCA?
Why is it so popular to use market capitalization weighted indices instead of taking the first principle component that explains the most variation of the constituents? I haven't yet seen an academic ...
3
votes
0answers
81 views
Estimating two normal random numbers with one equation
Subtitle: Estimating the correlation of the shocks driving two commodities in
two multi-factor models
I am fitting two 2-factor models to electricity and gas futures, respectively.
In order to ...
8
votes
1answer
438 views
Meta-view of different time-series similarity measures?
While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest.
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