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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 1 year, 1 month |
| seen | 1 hour ago | |
| stats | profile views | 157 |
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May 1 |
awarded | Yearling |
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Apr 30 |
comment |
Bond curve extrapolation I would have recommended Nelson-Siegel...You may get better results if you apply Nelson-Siegel to the forward curve and then build back the yield curve. Alternately, a weighted least squares might help reflect greater uncertainty in the longer bond yields. |
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Apr 25 |
answered | Transformation to reduce standard deviation without changing median |
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Apr 24 |
comment |
Calculating Geometric mean You could convert the return index into a total return index. |
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Apr 23 |
answered | Calculating Geometric mean |
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Apr 11 |
comment |
Data Synchronization While GARCH is a good approach to modeling volatility, I wouldn't make things too complicated when dealing with data synchronization. That being said, in the regression approach I linked to, the synchronized series is a function of another series, which for equities would have time-varying volatility. So if you fit a GARCH to the synchronized series it would also have time-varying volatility, most likely. |
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Apr 9 |
comment |
How to deal with different amount of td's in computing Sharpe Ratio I believe this question has already been answered. |
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Apr 4 |
reviewed | Approve suggested edit on Does DOM trading using broker data make any sense? |
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Apr 4 |
reviewed | Approve suggested edit on Stochastic modeling of stock price process |
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Apr 3 |
comment |
Data Synchronization I tend to shy away from moving average models and just increase the number of lags in a autoregressive model, but what you're saying makes sense. |
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Apr 2 |
answered | Data Synchronization |
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Mar 29 |
comment |
Assessing Forcasting with Correlated Residuals Residuals of what kind of model? And were you using seasonally adjusted CPI? |
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Mar 21 |
comment |
Call options portfolio: what would the underlyings' moments to be maximized? I don't understand why you can't use Expected Shortfall for the portfolio of options. So long as you have the distribution of option prices at the horizon (which requires simulating both the prices and the implied volatility surface), then you can calculate a frontier in terms of returns and CVaR. |
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Mar 14 |
revised |
Correlation decay in lognormal distribution deleted 11 characters in body |
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Mar 14 |
answered | Correlation decay in lognormal distribution |
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Mar 12 |
comment |
Calculate the expectation of a shift CDF @Richard, if $F(X)$ is uniform, then wouldn't $F(X+a)$ also be uniform? |
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Mar 7 |
answered | How to calculate tracking error given mismatches in available data |
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Mar 4 |
comment |
How to implement a long-term trade on oil? I think I understood your point. The futures curve still prices in the cost of hedging in the physical market. So regardless of using the physicals or the futures to hedge the swap, you'll still be exposed, right? |
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Mar 4 |
comment |
How to implement a long-term trade on oil? I figured something like that would be the case, but I usually don't deal with stuff like that. |
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Mar 4 |
answered | How to implement a long-term trade on oil? |
