meta user
network profile
| bio | website | |
|---|---|---|
| location | Paris | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Mar 24 at 22:33 | |
| stats | profile views | 110 |
|
May 25 |
comment |
How to interpret results of Johansen Test? @techpaisa you have to successively test, the first one is null: r=0 against r>0. in your case you reject at 99% if your test (12.88) >24.60. If this was true you would then test r=1 against r>1 : 2.46>12.97. if you reject that then you can conclude that r=2. You do not need to know the degree of freedom as the critical values are tabulated |
|
May 24 |
answered | How to interpret results of Johansen Test? |
|
May 21 |
comment |
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours? This is not specific of illiquid securities but you won't get any single model that answers your question. You will need to ask yourself what is the final aim of your model. This will highly depend on what you want to do with it. If it's algo trading the first most important characteristic will be out sample predictive performance. If you want to build a pricer you will probably be more interested in the way it estimates it's volatility. |
|
May 19 |
comment |
Measuring co-movement at non-constant intervals Could you be clearer? Are you talking about irregularly spaced time series? |
|
May 16 |
comment |
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? @John Thanks for the reference |
|
May 15 |
comment |
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? @John: Any out-sample predictive ability? I haven't found them very usefull in the past. |
|
May 14 |
comment |
Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? +1 for simplicity. Are you planning on applying this model to financial time series prediction? |
|
May 14 |
answered | Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? |
|
May 9 |
asked | Reference on Electronic volatility trading |
|
May 8 |
comment |
How to build a mean reverting basket? @VictorP: Your question is very similar to the one asked just yesterday by Quant Guy. The paper I cite in my answer is an attempt to build such portfolios. There is also a post on the tr8dr blog related to that matter. You can find it by searching "cointegration clusters Tr8dr" on google. |
|
May 7 |
answered | cointegration applied to Portfolio Construction & Risk management |
|
Apr 27 |
answered | How to measure investors' “experienced” volatility? |
|
Apr 23 |
accepted | Statistical learning libraries |
|
Apr 13 |
comment |
Two prices pass the cointegration test but there is a trend. How to check stationarity? You can include a constant and a deterministic trend in your initial regression. You then test for the presence of the trend (ie the significance of the parameter before the trend term). |
|
Apr 12 |
awarded | Popular Question |
|
Feb 1 |
awarded | Yearling |
|
Sep 12 |
awarded | Nice Answer |
|
Aug 11 |
awarded | Nice Question |
|
Jun 30 |
comment |
Variable Selection in factor models You should be concerned with correlation among your inputs or at least used technics such as ridge regression when estimating your model. |
|
Jun 30 |
comment |
Question about Gravity model of International trade I'm affraid this is off topic. |
