Tag Info

Hot answers tagged

4

The use of kernels to estimate volatility using intraday data is "nothing more" than combining: intraday volatility estimation kernel smoothing Thus you have to take care about the "usual pits" of these two approaches. Intraday volatility estimation. I hope you know the "signature plot" effect. Of course if you use the proper estimation method, it ...


2

Using a realized kernel for calculating volatility will give you results in the same resolution as the data you feed them. So if you feed them minute-by-minute data, then the volatility will be calculated minute-by-minute. What that really means is that only once per minute will you have a good estimate of the volatility of whatever asset you're looking at. ...


2

First, I assume that your price data are all from the same asset but spread over a certain time range. If you are looking for the distribution of the price of this asset on the real axis, you have plenty of methods (several fields in mathematics and statistics deal with this topic). As a first step you could make a histogram of your data. There you can see ...


1

The cross-validation procedure does not turn on the choice of algorithm. Yes - calculate the prediction error of the fitted models when predicting the V'th part of the data. Combine the V estimates of prediction average using a simple average. Subsets should be randomly sampled (roughly equally sized). 2a. Subsets should not overlap. No. As long as the ...


1

The problem is to find the best functional form of the utility function plus estimate its parameters. A good starting point is the following draft chapter from an upcoming book which gives a good intuition and many examples: Preferences by Andrew Ang


1

One simple approach is Construct the cumulative probability function (CDF), which will be a step-function. Smooth the CDF; for example, by using splines or a kernel smoothing function. Calculate the slope of the smoothed CDF, giving a curvy linear PDF. In R, this could be done using the ecdf function and one of the kernel smoothers. Again, as vanguard2k ...



Only top voted, non community-wiki answers of a minimum length are eligible