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 Yearling
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Jul
24
awarded  Yearling
Jun
23
asked Arbitrage bounds for Black-Scholes
Jun
16
comment Regression model syntax
The paper outlines the construction of $D$ and $\sum_{i=0}^HD_{t-i,1}$ is basically the rolling sum of $D$ for each $k$ from $t-i$ through $t$. I also agree that $r_{t+1} + ... + r_{t+H}$ is dependent on $...\sum_{i=0}^HD_{t-i,1}...$. Think about a very simple regression where $\hat{y} = \alpha + \beta x + \epsilon$. When constructing the model, there exists an existing dependent variable $y$ upon which to regress, or train the model. What is the "$y$" in this case?
Jun
15
comment Regression model syntax
Thanks for the comment but I don't think you answered my question. I understand what the lhs and rhs represents. I also understand that the regression models the future $r_{t+1}+...+r_{t+H}$ returns. What I am asking is in the actual construction/implementation of the model, what is the independent variable? We clearly do not yet have future returns, so upon what are we regressing?
Jun
15
revised Regression model syntax
fixed regression model latex
Jun
14
revised Regression model syntax
clarified independent variables
Jun
14
asked Regression model syntax
Jun
11
awarded  Popular Question
May
8
awarded  Popular Question
Mar
5
awarded  Autobiographer
Dec
25
comment VIX options historical data
Ah sorry, did you check iVolatility.com for VIX options data?
Dec
25
comment VIX options historical data
You can get the SPX option data and compute the VIX values yourself or check out iVolatility.com.
Jul
24
awarded  Yearling
Jul
2
awarded  Curious
Apr
24
awarded  Enlightened
Apr
24
awarded  Nice Answer
Aug
20
comment How to compute a sector's volatility within a portfolio?
I bring up correlation only in case it was relevant within someone's idea of an answer. I ask the question because I don't know.
Aug
20
accepted How to compute a sector's volatility within a portfolio?
Aug
20
comment How to compute a sector's volatility within a portfolio?
Yes, still working on the risk budgets problem... this makes a lot of sense within the construct of the various contribution metrics we have. I'll give it a go, thanks.
Aug
20
accepted Price volatility instead of return volatility for spread option parameter