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| bio | website | |
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| visits | member for | 1 year, 1 month |
| seen | 4 mins ago | |
| stats | profile views | 157 |
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3h |
comment |
How to calculate the conditional variance of a time series? Assuming the Garch model is the same as the one from the paper and the data is the same (and same frequency), I would expect them to look very similar. One difference is that most packages initialize the conditional variance with the long-run variance, so that's one area I would check but if you used the sample variance to initialize though the difference should be small. |
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19h |
reviewed | Approve suggested edit on Where do “Forex economic calendars” get their data? |
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1d |
comment |
How to calculate the conditional variance of a time series? Most Garch packages will output the conditional variances for you. For the centered returns, you could estimate an autoregressive model and subtract out the conditional mean. They are assuming a constant mean, which is also fine. |
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Jun 12 |
revised |
Are minimum-risk and minimum-variance portfolios equivalent? added 19 characters in body |
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Jun 12 |
answered | Are minimum-risk and minimum-variance portfolios equivalent? |
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Jun 10 |
answered | Volatility Return Distribution/Garch Modeling |
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Jun 6 |
comment |
Continuous returns for negative roll-adjusted futures data I wouldn't expect negative values if I were calculating a continuous futures contract. For the client, why don't you figure out a way to express what they want as a trading strategy first. Perhaps there is a way to express it in another way (like the difference in the return between the nearest continuous contract and the second nearest continuous contract). |
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Jun 5 |
comment |
Block Bootstrapping Relative Returns What is the purpose of the bootstrap? |
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Jun 3 |
comment |
FRA-Strategy: Make 3-month and 1-year Excess returns comparable Make a total return series that would invest in your strategy and then calculate the standard deviation/Sharpe from that. |
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Jun 3 |
comment |
Data sources for financials of global equities @BrianB H&M is a big Swedish retailer, so that approach wouldn't apply (it's also why there isn't any data on Google/Yahoo). I'm not aware of any free site for global balance sheet information. I get mine from Bloomberg or Factset. |
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May 28 |
comment |
Risk Budgets with Target Portfolio Volatility I have played around with this in the past and my understanding was that I could target the return/volatility or a specific set of risk contributions, but not both. To get a better sense of it, why don't you draw the frontier. Adjust the target volatility (or return) from the minimum variance volatility (or return) to the volatility (or return) of the maximum return portfolio and minimize the contribution differences. |
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May 17 |
comment |
What's the first time-integral of price called? I'm not sure a physics approach is helpful. Maybe you could pick up a book on stochastic calculus. |
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May 9 |
comment |
How does the CME set margin requirements on commodity Futures I just googled "CME margins" and put in the first link that came up after noticing it had some helpful links on the side. |
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May 9 |
comment |
How does the CME set margin requirements on commodity Futures cmegroup.com/clearing/margins |
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May 9 |
comment |
When calculating CIP between EU and US, which interest rates data to use? As in en.wikipedia.org/wiki/Compound_interest. If you set up the math properly, you will get a difference between the two, but it will be nowhere near as large as the differences you are reporting. |
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May 9 |
comment |
When calculating CIP between EU and US, which interest rates data to use? You F/S is still off, but not as off. The ratio is also way off. You have to use interest rates as a percent, so 6bps is $0.06/100$ and you also have take into account that you are only investing over a limited period. I got significantly closer numbers. |
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May 9 |
comment |
When calculating CIP between EU and US, which interest rates data to use? Your 1 month forward rate is wildly wrong (based on Bloomberg FRD command). I suspect that if you got 0.04 for that ratio, then you're also doing something wrong in that calculation as well (you're right to use 1 month rates). At a minimum, you need to account for the fact that you are only investing over a one month period (instead of a year). |
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May 8 |
reviewed | Approve suggested edit on Forecasting using rugarch package |
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May 8 |
reviewed | Reject suggested edit on Ways of treating time in the BS formula |
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May 7 |
comment |
How to normalize technical indicators for machine learning? I'm not sure there is one right approach. |
