I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in wikipedia's definition. That is, ...
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 ...
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 ...