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| bio | website | quantcorner.wordpress.com |
|---|---|---|
| location | Francia | |
| age | ||
| visits | member for | 1 year, 1 month |
| seen | 2 days ago | |
| stats | profile views | 49 |
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May 18 |
comment |
R Outputs from Johansen test. Linear combination still not stationary? Is your interest rates series I(1)? |
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Apr 27 |
comment |
How to measure if variance is greater at a certain time of day? I see no one has replied. Just a couple of questions. Does your hypothesis "Let's hypothesize that ..." actually hold? How can one know the volumes traded on the FOREX? And, why would 'higher demand for JPY' translate in 'greater probability of taking advantage of the market? |
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Apr 27 |
comment |
Is there an appropriate sequence to tests during model diagnosis? I would say that the beauty of econometrics is that it is NO cookbook. |
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Apr 20 |
answered | Cointegration tests |
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Apr 7 |
awarded | Yearling |
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Apr 7 |
revised |
Regression extensions added 2 characters in body |
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Apr 7 |
answered | Regression extensions |
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Apr 7 |
answered | Regression with Lagged variables |
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Apr 7 |
comment |
Software for backtesting outside strategies (CSV transaction upload) Hi dordal. I also think your trader orders are too much simplistic. That IS the problem. |
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Apr 7 |
comment |
Testing Significance of Correlation The correlation tests you ran with differents lags are themselves 'significance' tests (???). The higher the Pearson (Spearman, ...) correlation the more 'significant'. Besides, you might wish to ensure correlations you found are stable over time. |
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Apr 4 |
answered | Testing Black Scholes Analytical Options Pricer |
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Feb 12 |
awarded | Student |
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Feb 12 |
asked | Markov-Switching E-GARCH with R |
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Feb 12 |
comment |
Is the binomial model wrong? I agree that models are unperfected by their very nature. |
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Feb 4 |
comment |
Testing for stationarity in large sample sizes Hasn't that just to do with the very process of churning out smaller series from largers series? I mean I am not surprised that happens. |
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Jan 30 |
answered | How to price a calendar spread option? |
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Jan 22 |
comment |
How to calculate Vomma of Black Scholes model Yes, it is right. Notice that it is much better to write (T - t) instead of T. |
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Jan 21 |
answered | How to calculate Vomma of Black Scholes model |
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Jan 10 |
comment |
Interpreting QuantLlib implied volatility numbers Hello HR. Can you show up you code? This may be easier to understand what's wrong. |
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Jan 8 |
comment |
How to fit ARMA+GARCH Model In R? I am not sure you will find a detailed example. Do you know the R package fgarch ? The garchFit() function might be useful for your task at hand cran.r-project.org/web/packages/fGarch/fGarch.pdf |
