All Questions

21 views

VaR for portfolio of funds

Let's assume we need to calculate a 1-day VaR for a portfolio of funds. Funds are traded, they can be bought and sold every day. We know exactly what the assets in each fund are. What is the right way ...
26 views

Sign Bias test output interpretation of rugarch?

I fitted an ARMA-GARCH process to my data and looked at the output: ...
77 views

Replicating strategy in the Black-Scholes model

I have a two-asset Black-Scholes model for a financial market: $dB_t=B_t r dt$ $dS_t=S_t(\mu dt+\sigma dW_t)$ I introduce a European claim $\xi=max(K,S_T)$ with maturity $T$, for some fixed $K$. I ...
23 views

Interpretation and consequences of the Nyblom test in the rugarch package?

I fitted a garch model using rugarch of the r package and I got the following output: ...
39 views

Optimal mortgage rate strategy

When buying a mortgage, you can choose to "lock in" a rate at any point within 60 days of your closing date. Once locked in, you can't revert. This makes it a secretary problem - in the traditional ...
85 views

31 views

Is there any reasonable way to short-sell Bitcoin [migrated]

It is not an official currency (yet?) but definitely has a market, and as such, I might be intrested in short-selling some. Are there any reliable, way to bet against it?
111 views

Distribution of profit/loss for retail traders in FX

I've heard that 90% of retail investors in FX lose money. I want to analyze this in more detail. Question: Is there some literature that describes the statistics of profit/loss for retail traders in ...