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Feb
18
comment Why do we usually model returns and not prices?
@RndmSymbl I think Richard's answer covers that. However, I think the discussion of log returns vs. arithmetic returns is not particularly relevant to why to use prices versus returns. Not that it's unimportant, but just not the first thing I think of.
Feb
12
comment What Matlab packages to I need as a Risk Analyst?
@SRKX If your programming skills are good enough, you don't need any toolboxes. :)
Feb
11
revised How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?
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Feb
11
comment What Matlab packages to I need as a Risk Analyst?
@SRKX I'm not sure how helpful the whole "it can be avoided by writing a little bit of code" is. If I absolutely needed to query a database in Matlab, I'd be hard pressed to do it without the database toolbox. Maybe create a mex file to call ODB or call python's sqlalchemy. These aren't exactly trivial things though.
Feb
10
comment Why do we usually model returns and not prices?
@emcor I tried to pick my words carefully on purpose. I wrote that returns can be assumed to be stationary rather than that they were actually stationary. Of course, if there is volatility clustering or some other effect, then returns aren't technically stationary (variance changing over time). Nevertheless, stock prices almost always reject the Dickey Fuller test and returns almost always do not reject the Dickey Fuller test. Thus, it is useful to operate on the theory that the prices will have a unit root and returns do not.
Feb
7
answered Why do we usually model returns and not prices?
Feb
7
comment Why do we usually model returns and not prices?
Related question: quant.stackexchange.com/questions/8875/…
Feb
3
comment On a source for a mean-variance portfolio optimization result
I think Markowitz' 1959 book does, but it's a straightforward optimization that is easy if you look up the relevant matrix derivatives. I think I went through the math in another question here, but can't find it now.
Feb
1
answered Why model the variance-covariance matrix as an inverse-Wishart distribution in bayesian portfolio analysis?
Jan
28
comment Why random walk Metropolis Hasting algorithm works bad on GARCH(1,1) parameters estimation
I would distinguish between Gibbs sampled MCMC and Metropolis-Hastings MCMC. Gibbs sampled MCMC (what I assumed you meant by random walk) does not do a rejection step the way that Metrpolis-Hastings does.
Jan
28
comment Why random walk Metropolis Hasting algorithm works bad on GARCH(1,1) parameters estimation
Rejecting the negative ones is Metropolis-Hastings. For MLE, you might look at the source code for Kevin Sheppard's MFE toolbox for Matlab. You can look at his implementation of multivariate Garch there as well. Alternately, fGarch or rugarch for R.
Jan
28
comment Why random walk Metropolis Hasting algorithm works bad on GARCH(1,1) parameters estimation
The Metropolis-Hastings step is that they have to ensure that alpha and beta are positive. I can't speak much more to this particular paper. I usually fit Garch with MLE because I have sufficient data. MC Stan has a good example on fitting Stochastic Volatility models in its manual that you might check out.
Jan
22
awarded  Enlightened
Jan
22
awarded  Nice Answer
Jan
20
comment Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
You might also refer to Equations 21-23 in papers.ssrn.com/sol3/papers.cfm?abstract_id=1213325
Jan
20
comment What are the parameters of the function PORTVAR in Matlab?
Without looking at the source, I would guess that they use the Matlab function cov on the returns to get the covariance matrix. The only thing I'm not sure of is if they use the population or sample covariance matrix. You can think of this like what would have been the variance of a portfolio rebalanced in each time period.
Jan
17
revised Geometric Returns values less than -100%
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Jan
17
comment Geometric Returns values less than -100%
@Kamster Thanks for the correction. I mean the log differences, but didn't do the Latex right.
Jan
16
comment Geometric Returns values less than -100%
The 2 makes it annualized.
Jan
16
revised Geometric Returns values less than -100%
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