The untagged tag has no wiki summary.
4
votes
0answers
121 views
How to estimate CAViaR (Engle and Manganelli 2004) using non linear quantile regression?
I am trying to replicate results from Engle and Manganelli (2004). The following is one of their specifications,
$q_t(\theta)=\gamma_0+\gamma_1q_{t-1}(\theta)+\alpha|r_{t-1}|$,
$q$ is the quantile of ...
2
votes
0answers
241 views
TA/Pattern algorithm analysis
I have been building a momentum pattern detection algo (essentially involves fitting curves in overlapping windows at different timeframes) and wanted to see if anyone has done/seen similar work. I ...
