383 reputation
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bio website quantcorner.wordpress.com
location Francia
age
visits member for 2 years
seen Mar 26 at 23:17

May
18
comment R Outputs from Johansen test. Linear combination still not stationary?
Is your interest rates series I(1)?
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?
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.
Apr
20
answered Cointegration tests
Apr
7
awarded  Yearling
Apr
7
revised Regression extensions
added 2 characters in body
Apr
7
answered Regression extensions
Apr
7
answered Regression with Lagged variables
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.
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.
Apr
4
answered Testing Black Scholes Analytical Options Pricer
Feb
12
awarded  Student
Feb
12
asked Markov-Switching E-GARCH with R
Feb
12
comment Is the binomial model wrong?
I agree that models are unperfected by their very nature.
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.
Jan
30
answered How to price a calendar spread option?
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.
Jan
21
answered How to calculate Vomma of Black Scholes model
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.
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