John
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 May 20 comment After PCA on original factors, how to tell which original factors are dominant? It is usually possible to say a how much a particular entry (year in your example) contributed to a particular eigenvector (which I can provide an answer for), but I'm not sure you can do the same across all of them, if that's what you're asking. May 20 comment After PCA on original factors, how to tell which original factors are dominant? What do you mean by original factors? May 20 comment Trend estimation techniques You might find this informative. papers.ssrn.com/sol3/papers.cfm?abstract_id=2289097 May 19 comment How can I calculate Fama-French betas for a particular stock? en.wikipedia.org/wiki/Linear_regression May 19 comment Relationship between Large Cap and Small Cap Volatility It seems like the explanations on the link @vonjd provided cover the sort of basic explanation (financial crisis). What else are you looking for? May 14 revised What is the motivation for index benchmark? deleted 1 character in body May 14 comment Calculating Bollinger Band Correctly @Bach I second the recommendation on providing more code (or perhaps a simplified version that can reproduce the plot from scratch). May 13 comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits? I don't have access to that paper. I suggest you get a copy of it from your library. If you have any questions, your professor is likely to be able to provide better answers on this type of question than this site will. May 13 comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits? This one (found simply by googling Peter Diamond 1967)? ibe.eller.arizona.edu/docs/2008/Segal/… May 13 comment Why is that maximizing stock value, under uncertainty, is a better option than maximizing profits? If you're a student, then you can typically access papers at your library. It's not quite clear to me what you're asking. You might find this informative: papers.ssrn.com/sol3/papers.cfm?abstract_id=146148 May 12 comment How to price long dated options most efficiently? @MattWolf You may want to add that comment as an answer. May 7 comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R? Haven't done any time-varying copula modeling in a while. Maybe post a separate question. May 7 comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R? I'm not familiar with the BB terminology. You might have to just write your own. May 7 comment Where can I find implementations of the time-varying copula (BBX) in Matlab or R? DCC Copulas for Matlab here, though when I used this it was not set up how I would prefer. mathworks.com/matlabcentral/fileexchange/… May 7 comment Calculating the VaR from a GARCH(1,1) with Student-t innovations I get -72473.6 from your results. It's possible you have a data issue. I took the mean of daily log Apple returns from January 1 2002 for 2849 data points and got 0.001272. The mean doesn't impact the VaR calculation much for one day, but if your data is wrong then the VaR calculation will be wrong too. Based on my estimate of the mean and the correct t, he is using a standard deviation of 0.017247. Not really that far from what you have. Could just be a matter of choosing different starting points. May 7 comment Calculating the VaR from a GARCH(1,1) with Student-t innovations Do you mind editing the question to include exactly where the question is from on that site? Two preliminary thoughts: 1) it looks like he did the VaR in terms of dollars and you did it in terms of percent, 2) I find it more convenient to think about VaR as a negative number (what you can lose), so I would use a negative t value. This alone is not enough to reconcile the two numbers though. May 6 comment Given a correlation martrix, calculate portfolio's correlation with its assets @user12348 That's pretty much the opposite of what I was saying. My way works. I was saying that if you change the covariance matrix from $3 \times 3$ to $4 \times 4$, then the matrix math I suggest doesn't work anyway. Regardless, it wouldn't make sense to do my way after you've already estimated the covariances between the portfolio and the assets. You're practically to the correlation matrix at that point. May 6 revised Given a correlation martrix, calculate portfolio's correlation with its assets added 2 characters in body May 6 comment Given a correlation martrix, calculate portfolio's correlation with its assets @user 12348 I said the covariance matrix is of the assets. It would still be $3 \times 3$ in your case. Further, $W$ in your case is $3 \times 4$. Its transpose could not multiply into a $4 \times 4$ matrix anyway. May 6 answered Given a correlation martrix, calculate portfolio's correlation with its assets