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May
1
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Apr
28
answered Realized “efficient” frontier. Is this reasonable?
Apr
28
comment measuring portfolio performance using monte carlo simulation
@noob2 I wouldn't say that the OP "needs" a Monte Carlo, but I also don't think that there is anything bad about doing a Monte Carlo. However, I would say that the benefit is really only if you're moving beyond a stationary multivariate normal process. To the OP, another alternative is to do your backtest with a bootstrap.
Apr
2
comment Bayesian analysis in R: Probability of default, low default portfolios
There are a number of Bayesian packages in R. My favorite is Stan. But you'll need to know what you're doing.
Mar
25
comment Real world application of stochastic portfolio theory
I find SPT interesting, but I don't know enough to really provide any sort of comment. I looked over that paper you cited in the edit. It strikes me that the strategy is basically a way to overweight the smaller stocks. It doesn't mention any real-world difficulties with this strategy (increased turnover and liquidity issues with smaller cap stocks). It also doesn't reference Fama-French and any of the small cap literature.
Mar
23
comment How to deal with negative ARCH terms?
@Stephan Seems reasonable to me.
Mar
22
comment How to deal with negative ARCH terms?
@Stephan Many GARCH programs impose constraints on GARCH coefficients. Sometimes they will transform parameters in order to ensure above 0. You could try call R or Matlab versions of these functions from Eviews.
Mar
22
comment How to deal with negative ARCH terms?
I would recommend instead of the significance, to look at something like the AIC. Even if the ARCH to is not significant, it still may make sense to fit the GJR-GARCH model.
Mar
11
comment Degrees of freedom in calculating significance of GARCH coefficients
He doesn't provide the formula. He just provides p values for the coefficients. I just used a normal p value calculation and got the same results.
Mar
10
comment Degrees of freedom in calculating significance of GARCH coefficients
Also, if you're using daily data, then n should be much larger than v.
Mar
10
comment Degrees of freedom in calculating significance of GARCH coefficients
The number of parameters in a Gaussian GARCH(p, q) model equals 1 + p + q.
Mar
10
comment Degrees of freedom in calculating significance of GARCH coefficients
That being said, I looked over Engle's Garch 101 paper and he seems to be using p value calculations similar to the OP's formula.
Mar
9
comment Correlation -1 and standard deviation
I recommend changing the png files to latex.
Mar
9
comment Does the FF 3-Factor model work with unadjusted prices?
I agree with @noob2. Calculate the correlation of the returns using prices vs. the returns using "adjusted" prices. It should be close to 99%. The standard deviations should be similar. The CAGR for the "adjusted" returns should be bigger than the CAGR of the price returns by roughly the dividend yield.
Mar
4
comment Which are useful applications of clustering in quantitative finance?
Any time you want any kind of dimension reduction, clustering could be a tool worth using. For instance, grouping companies into buckets based on financial characteristics. Not sure of any good survey articles. The tricky part with clustering is that a lot of the literature is focused on the cross-section, whereas finance can exploit time series data as well.
Mar
2
comment Forecasting sales from balance sheet data
You might also consider looking in to panel methods. You should be able to exploit the fact that N >> T.
Feb
29
comment Modelling and forecasting mixed frequency financial data
@qfd I don't know of a programming example.
Feb
27
comment Modelling and forecasting mixed frequency financial data
Very true. The literature on Nowcasting makes heavy use of this will tend to have some sort of underlying factor model (using PCA). It might require extra steps to get it working, but if you're interested in large-scale forecasts that's where you might start. On the combination of forecasting models, it's more of a heuristic that I've used. Maybe:ec.europa.eu/eurostat/documents/3888793/5838289/… or elib.mi.sanu.ac.rs/files/journals/yjor/15/yujorn15p103-109.pdf Would be useful
Feb
26
answered Modelling and forecasting mixed frequency financial data
Feb
26
comment Modelling and forecasting mixed frequency financial data
Can you remove the line about MIDAS and being too lazy?