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4
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0answers
165 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 ...
3
votes
0answers
90 views

Overnight Index Swaps

Just a very quick general question regarding the OIS market. Is it common place on termsheets to state a PV Notional and additionally a FV notional, if so what is the purpose of this and does market ...
2
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0answers
255 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 ...
1
vote
0answers
56 views

mean variance minimizer

I need to use the lagragian multiplier to find the minimal martingale measure from the set of equivalent martingale measures. i formed the lagragian as L = $L(u(t,S(t)),\lambda) = ...
0
votes
0answers
40 views

Rational expectation meaning

What does rational expectation (RE) mean in agent-based modeling context? What are the relationships between RE and expectation and outcome?
0
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0answers
47 views

beginner hurst exponent question

2 simple questions about the hurst exponent. I am using the R/s method to calculate and I've been able to logic it out with no prior experience with time series hence my beginner questions. I've ...