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I will revise this question as there has been no answer. Does anyone know of a historical database that contains the historical forward estimates (as opposed to the delayed real results) for the S&P500 earnings? It seems that quandl uses delayed data up to 6 months behind, and estimates that latest months based on the delayed data. I could not find any ...

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The Blundell Ward filter is a fairly commonly used method for removing first order autocorrelation see; http://www.scribd.com/doc/142748206/Impact-of-Auto-correlation-on-Expected-Maximum-Drawdown#scribd

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If you assume first order correlation and stationnary assumptions and no autocorrelation between true returns and estimated returns, the answer is the following Denote by $R^e$ the estimated return, $R^t$ the true return and $\rho$ the autocorrelation coefficient By assumptions, you have that $R^e(t)= \rho R^e(t-1) + (1-\rho ) R^t(t)$ \$ Cov( ...

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