I have several assets, each with different return histories. Some of the assets have 75 days of return history, others have 40 or so days. In calculating a robust covariance matrix, should I be using ...
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 ...
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 ...
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 ...
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 ...