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Dec
17
answered Why are GARCH models used to forecast volatility if residuals are often correlated?
Dec
15
answered How to interpolate gaps in a time series using closely related time series?
Dec
10
answered Why is volatility mean-reverting?
Dec
9
answered How do I adjust a correlation matrix whose elements are generated from different market regimes?
Dec
8
asked performance of historical VaR parameters
Dec
6
answered How to group timeseries showing similar curve
Dec
6
answered What is the precision of standard deviation estimates with small samples?
Nov
30
answered Cleansing covariance matrices via Random matrix theory
Nov
30
answered Performance Attribution : Annualizing alpha & factor return contributions
Nov
30
asked Performance Attribution : Annualizing alpha & factor return contributions
Nov
29
answered How to generate a random price series with a specified range and correlation with an actual price?
Nov
29
answered What is the case for active management?
Nov
28
asked Links to the risk model methodologies of the major providers?
Nov
28
asked zero-sum active management riddle
Nov
17
asked What books should any quantitative portfolio manager or risk manager have as reference?
Nov
10
answered How does Kalman filtering of beta in pairs trading model work in R?
Nov
10
asked Performance of 1X0/X0 funds vs. traditional benchmarks?
Nov
7
answered How to combine multiple trading algorithms?
Nov
7
asked Tools in R for estimating time-varying copulas?
Nov
2
asked Monte carlo portfolio risk simulation