A sequence of events measured at uniform intervals of time.
5
votes
4answers
325 views
Regressor: Nominal return, continuous return or first difference?
Suppose the application is linear models in financial econometrics. If we want to analyze stocks, the standard approach is to take the continuous/log return: $\ln{ \frac{P_t}{P_{t-1}} }$. Suppose, ...
5
votes
2answers
126 views
Economic contagion to individual stocks (ideas for analysis)
I'm doing my undergraduate thesis on firm-level contagion. Specifically I look at a measure of performance over a financial crisis (e.g. raw stock returns), then run cross-sectional regressions with ...
5
votes
0answers
171 views
Alternative ways to understand time-varying comovement between two time-series?
I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time.
I first thought about using a Kalman/particle filter over a ...
5
votes
0answers
198 views
Can Hurst exponent be used to characterize nonlinear dependence in time series?
It appears to me that the answer is no, because Hurst exponent measures persistence in terms of autocorrelation, which is a linear measure. So even if a time series of asset returns is driven by ...
5
votes
0answers
473 views
Alternative to Block Bootstrap for Multivariate Time Series
I currently use the following process for bootstrapping a multivariate time series in R:
Determine block sizes - run the function b.star in the np package which produces a block size for each series
...
4
votes
2answers
3k views
Are public historical time series available for ratings of sovereign debt?
The nice list of free online data sources Data sources online does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as ...
4
votes
1answer
344 views
How to apply quasi-Monte Carlo to path-dependent options?
Following up on my recent question on variance reduction in a Cox-Ingersoll-Ross Monte Carlo simulation, I would like to learn more about using a quasi-random sequence, such as Sobol or Niederreiter, ...
4
votes
2answers
143 views
What's the difference between SA and SAAR?
I've only recently begun working in the quantitative finance field, and I've noticed that some time series I'm given are labeled "seasonally adjusted", and some labeled with "seasonally adjusted ...
4
votes
1answer
265 views
Is there any measure that is a non-trivial combination of VWAP and TWAP?
Is there any measure that is a non-trivial combination of VWAP and TWAP? For example:
\begin{equation}
\textrm{VTWAP} = \frac{\textrm{VWAP}+\textrm{TWAP}}{2}
\end{equation}
I'm thinking about ...
4
votes
1answer
257 views
How to use Newey West covariance corrector?
I have implemented the following model:
daily_vol(t+1) = A*daily_vol(t) + B*weekly_vol(t) + C*monthly_vol(t) + error
where vol means volatility, and A, B, C are ...
4
votes
0answers
156 views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
4
votes
0answers
406 views
Algorithms for predicting a couple points in the future
I'm familiar with supervised learning algorithms like regression and neural networks which look at a bunch of input points and learn a function which outputs a value (the value varying depending on ...
4
votes
0answers
362 views
Hasbrouck's information share
Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in
page 12-13 of this article.
page 7-8 of this article
I have the vector error ...
3
votes
1answer
122 views
knowing the order of GARCH model
I want to ask if there is a situation to know the order of GARCH(p, q) from the result. For example, in the case of AR(p), one can know the value of p by plotting pacf(). In case of MA(q), one can ...
3
votes
2answers
262 views
Using variance ratios to test for mean reversion
Can you use the variance ratio test to determine whether or not a time series is mean reverting? I'm using the Lo.Mac function in the ...
3
votes
1answer
194 views
How do I estimate the parameters of an MA(q) process?
It is relatively easy to estimate the parameters of an autoregressive $AR(p)$ process. How do I do with a moving average $MA(q)$ process?
3
votes
2answers
248 views
central limit theorem and VAR
If I have a lot of data points and number of different dependent variables, can I use central limit theorem to assume data is multivariate normal and compute my VAR? Is this the appropriate use of ...
3
votes
3answers
613 views
How to normalize Futures data(different leverage) for cointegration test?
For example I want to construct 2 time series, one for ES and the other for NQ and test for cointegration.
ES one point equal to 50$.
NQ one point equal to 20$.
If I have the following data:
...
3
votes
2answers
56 views
Imputed values in a multi-index
I have an equal-weighted index on a number of different Indices (from US, Europe and Asian markets). This compound index is constructed from a time series that has missing values (for example, those ...
3
votes
1answer
159 views
time in time series database - UTC or local
I strictly store UTC time stamps inside time series files or databases, mainly to allow processing several time series together. Timezone information is kept with each time series file or item, so ...
3
votes
2answers
332 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
3
votes
1answer
303 views
Linear regression and assets direction prediction
I have the following asset returns Y and the predictions for the same periods Y':
Y = { 10, 200, -1000, -1, -7 }
Y' = { 1, 2, -3, -4, -5 }
The OLR R-squared for ...
3
votes
1answer
1k views
How to estimate a multivariate GJR or TARCH model in Eviews?
How do I specify the GARCH/TARCH equation in Eviews 6 in the variance regressors frame, if I want to find out whether there are volatilty spillovers from stock markets A and B to stock market C?
P.S. ...
3
votes
3answers
222 views
estimating the accuracy of a method for forecasting the distribution
Say for a stock I want to do a simulation using 30 days of historical returns, and maybe generate 1000 paths, with 2 days as the forecast horizon.
Say I have 100 of these 5 day blocks used for ...
3
votes
0answers
102 views
Is it random walk?
I would like to ask a question about random walk. Campbell, Lo & Mackinlay defined the random walk, in the following way (RW3):
$$
cov[f(r_{t}),g(r_{t+k})]=0,\qquad k\neq0
$$
for all $f(\cdot)$ ...
3
votes
0answers
112 views
Fitting a non linear AR + GARCH(1,1)-M model
I want to fit the following model to a time series:
$$
y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}
$$
$$
...
2
votes
2answers
110 views
Why do long-term equity return forecast models use dependent observations?
I've been reading up on different models used to forecast the equity risk premium, and I've seen a couple of papers that had questionable methods. For example, this paper by Javier Estrada goes into ...
2
votes
2answers
131 views
Squared and Absolute Returns
I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ...
2
votes
2answers
2k views
Calculating Portfolio Skewness & Kurtosis
I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you.
I have been using the matrices method and I am not ...
2
votes
3answers
343 views
Analyze raw tick data
I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.)
For example
...
2
votes
1answer
251 views
Is there a measure for the 'degree' of cointegration
Is there a standard (or maybe even intuitive?) way of ranking pairs of cointegrated time series so that one could make statements like the following:
...
2
votes
1answer
182 views
Picking from two correlated distributions
Can anyone provide a simple example of picking from two distributions, such that the two generated time series give a specified value of Pearson's correlation coefficient? I would like to do this in ...
2
votes
1answer
161 views
Testing for stationarity in large sample sizes
I keep struggling with testing 9 samples if they are stationary. Each of these samples is a real valued time series with 714.000 values. If I use the KPSS test with the each compleete sample set, the ...
2
votes
3answers
161 views
What data transformations to use in regression of credit spreads on equity prices?
Clearly there is a strong relationship between credit spreads and equity prices (both theoretically and empirically). But how would one go about formulating a regression which seeks to explain this ...
2
votes
1answer
741 views
How to fit ARMA+GARCH Model In R?
I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
2
votes
1answer
324 views
Techniques for forecasting short-frame data?
I'm having a problem in which a time series of 24 data points is given to forecast the next 12 data points. This 24 data points might be sparse (many are missing).
Do you have any suggestion on what ...
2
votes
2answers
109 views
How to synchronize put and call option-data?
I recently retrieved a large amount of European option data, for call and put prices, from OptionMetrics. Doing so for the same time period I get a file consisting of
62558 rows of call prices & ...
2
votes
1answer
367 views
Predict Quadratic Trend in Time Series
Can anyone kindly point out if I made any mistakes in making predictions using quadratic regression model in time series? I called the predict() function with the appropriate data vector and model, ...
2
votes
1answer
124 views
Good reference on sample autocorrelation?
I'm not a statistician but I'm writing my thesis on mathematical finance and I think it would be neat to have a short section about independence of stock returns. I need to get better understanding ...
2
votes
1answer
100 views
How to reconstruct a discontinued economic time series such as the Fed's CP rate?
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 ...
2
votes
0answers
30 views
How to calculate the conditional variance of a time series?
I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated:
Fig. 2 shows the conditional variances of the ...
2
votes
0answers
59 views
Event studies using revenue data vs. measuring abnormal returns
This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
2
votes
0answers
53 views
Is there an appropriate sequence to tests during model diagnosis?
How should one order (sequence) the following tests?
Stationarity test
Johansen cointegration test
Normality/Histogram test
Autocorrelation test
Heteroskedasticity test
Multicollinearity test
...
2
votes
0answers
103 views
What are the proper metrics to look at for checking discrepancies in these two time series
I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
2
votes
0answers
82 views
Difference between kappa and delta in mixed-effects model
(This question is a crosspost from Cross Validated)
I have a following stochastic model describing evolution of a process (Y) in space and time. Ds and Dt are domain in space (2D with x and y axes) ...
2
votes
1answer
175 views
Average beta of index consitutents w.r.t. the index is 0.60
I have 1 year time series data of 300 constituents of the Australian All Ordinaries index (which is composed of 491 firms). The missing firms are mostly smaller firms.
I run the market model $R_{it} ...
2
votes
3answers
419 views
How to annualize dividends paid at varying intervals?
I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
2
votes
1answer
341 views
a simpler test for normality given skewness, kurtosis and autocorrelation and size of time series
I typically do a JB (Jarque Bera) test and DW (Durbin Watson) tests for check for normality given skewness, kurtosis and autocorrelation of the data. However this requires a CHI distribution table ...
2
votes
0answers
212 views
What does T statistics of Information Coefficient indicate?
Hi I am looking for a clear explanation of T statistics concept. Especially in quantitative equity portfolio management context, what does T statistics of monthly Information Coefficient for one ...
1
vote
1answer
176 views
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?
$\hat{\epsilon}'\hat{\epsilon}$ from the market model: $R_{it} - \hat{\alpha} - \hat{\beta}R_{mt} = \hat{\epsilon}$, or from a factor model such as the Fama-French 3 factor model, is often used in the ...
