391 reputation
18
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location Oslo, Norway
age
visits member for 2 years, 11 months
seen Oct 10 at 7:31

Dec
9
comment Calculating log returns using R
There was a slight (obvious?) error in my reply with taking the negative logreturn instead. Now corrected. Thanks to user6569 that notified me.
Dec
9
revised Calculating log returns using R
edited body
Jul
12
comment how to calculate more efficient volatility figure than historical volatility?
Does your question imply that you do not have access to option market data you can derive implied volatilities from? (i.e. you only have the underlying market?)
Jan
17
awarded  Scholar
Jan
17
accepted Reasonable Hull & White parameters
Dec
7
revised Reasonable Hull & White parameters
added 40 characters in body
Dec
7
asked Reasonable Hull & White parameters
Nov
17
comment Why is random trading minus transaction costs not zero expected value?
Would you consider the bid ask spread be considered a transaction cost? If not, a very simple counterexample could be provided. But I assume that is not what you are asking about?
Oct
26
awarded  Yearling
Sep
12
comment Correlation: Test for linear dependence
Thanks. I think the second paper maybe can solve some of my issues (restated in a comment above). I will have a look at it.
Sep
12
comment Correlation: Test for linear dependence
I have started to be a bit vary of just looking at the correlation coefficients, as they are simply a number and could be stable although the returns do not follow a lognormal (or any other assumed distribution) walk with correlation p. I guess one would have to look at the distribution as a whole, considering whether the observed data would be sampled from e.g. a bivariat normal distribution.
May
11
comment age-sensitive correlation measurements in finances
Have a look at RiskMetric's "Technical Document" from 1994, it should all be explained there. It also contains a recursive formula :) If not, the r's in the formula is logreturn of stock j at time (t-n), while your lambda is the weighting constant (RiskMetrics used 0.94, and this usually works well)
Apr
24
comment How to get greeks using Monte-Carlo for arbitrary option?
Numerical derivatives are iffy business, but I agree that it seems to be your best choice. As you probably know; be aware of the how the precision decreases quickly(!) as higher orders are measures.
Apr
24
revised Correlation: Test for linear dependence
edited title
Apr
24
asked Correlation: Test for linear dependence
Apr
20
comment Analytical relationship between a covariance matrix and cross-sectional dispersion
And when you measure standard deviation, are you using the estimator 1/(N-1) * sum(r_i,t * r_i,j) (summed over some time)
Apr
20
comment Analytical relationship between a covariance matrix and cross-sectional dispersion
so if r_i and r_j are the returns of each stock, you are looking for the expected value of the product of these two? i.e. E(r_i*r_j) ?
Apr
20
comment Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
@Alexey Kalmykov Of course, but if you choose method and distribution right, I dont really see how a historical approach will be better than a distributional.
Apr
20
awarded  Commentator
Apr
20
comment Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
Historical VaR will not measure events that "have not already happened" in your data set. Hence, you will get a more general result if you do some distributional assumptions.