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May
2
reviewed Looks OK Models crumbling down due to negative (nominal) interest rates
May
2
answered Book recommendation for credit risk management for banking
Apr
28
revised Do intraday volume and volatility share the same properties?
edited body
Apr
26
answered Do intraday volume and volatility share the same properties?
Apr
26
reviewed No Action Needed Clarification of Saturation-Reset Regimes
Apr
26
reviewed No Action Needed Transforming Variables in Regression
Apr
26
reviewed No Action Needed Stock price is a martingale if the riskless interest rate is zero?
Apr
26
reviewed No Action Needed Confused on interpretation of betas/alphas in regression in finance
Apr
25
reviewed No Action Needed IbPy download historical price data
Apr
25
reviewed Leave Open Dynamic Hedging for a Bond
Apr
23
reviewed Leave Open Is implied volatility flawed?
Apr
23
reviewed No Action Needed Using Gordon's Growth Model to find value of corporation
Apr
15
awarded  Yearling
Mar
31
reviewed No Action Needed Calculate efficient frontier using fPortfolio with incomplete set of returns
Mar
31
reviewed No Action Needed Building custom indices; getting data from web; stats analysis; Python or R?
Mar
28
answered Garch for covariance matrix?
Mar
27
reviewed No Action Needed Lease Accounting / FX Embedded Derivatives
Mar
27
reviewed No Action Needed Can I do a GARCH model to forecast a time series?
Mar
27
comment The use of GARCH
I try to focus my answers on market microstructure, @MattWolf , my plan is not to write tutorials on time series here... Let's hope we have another user who will contribute on this...
Mar
26
comment The use of GARCH
@MattWolf it would be great to read something like: the ARIMA on the returns will provide you this feature [biblio] but you have remaining heteroskedasticity on the residuals, use a GARCH to capture it [biblio again]. By the way, are you sure that if you generate your data by GARCH+ARIMA the parameters estimated that way will be unbiased ;{)} ?