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Mar
21
answered How is the MA (moving average model) useful?
Mar
17
comment Log returns vs Relativizing to Portfolio size of $1
It might be useful if you add more details about what you're trying to do and what the various calculations are.
Mar
14
comment Use of geometric mean for average return of several indices
@ChrisDegnen What you're trying to do doesn't make much sense to me. You don't need a geometric average to get an average of returns cross-sectionally. Arithmetic average is fine. Weighted averages (based on market-cap or something) are also common.
Mar
13
comment Critique against consumption-based asset pricing theory?
Also, this theory isn't all that popular among practitioners. You'd get more information talking to some finance professors or something.
Mar
13
comment Critique against consumption-based asset pricing theory?
@Investor To your first point, advocates of this approach would likely say that it is an abstraction that wouldn't substantially impact the analysis. Others (like yourself) may disagree with that assessment, but oh well. To your second point, this is not agent based modelling. Representative agents are be more-or-less alike. Same utility functions, same preferences, same expectations. Maybe different ages in overlappying generation models. For the most part, all the agents are exposed to the same consumption goods in the same way.
Mar
12
revised Critique against consumption-based asset pricing theory?
added 13 characters in body
Mar
12
answered Critique against consumption-based asset pricing theory?
Mar
12
comment Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
Matlab's GARCH outputs the log-likelihood, which is the primary input to AIC/BIC. Just write a function that loops over the relevant parameters, calculate AIC/BIC, then selects the one with the best.
Mar
11
comment Econometrics - Granger Causality
davegiles.blogspot.com/2011/04/…
Mar
11
answered Econometrics - Testing
Mar
11
comment Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
mathworks.com/help/econ/conduct-a-likelihood-ratio-test.html
Mar
5
comment Copula Value At Risk
I have no idea what those charts are supposed to be saying.
Mar
4
comment Copula Value At Risk
What do you mean you don't want a single value? You mean you want a distribution for the portfolio Value at Risk? Or, do you mean you want the quantile for each security? Also, I think Copula Value at Risk might be a misleading term. Sort of implies that the Value at Risk calculation is different, when it's really just the modelling that's different. Before setting what you want up with Copulas, I might first set it up with multivariate normal (as that is equivalent to what you're doing).
Mar
3
comment Beta and the Assumption of IID Returns
This answer would be improved by an explanation of what iid means and how it relates to each part.
Mar
3
comment Fitting a sigmoid function to incomplete, structured, data
I'm not entirely sure that sigmoid is optimal in this case, but I'd have to know about what you're trying to do to be sure.
Mar
1
revised Beta and the Assumption of IID Returns
deleted 14 characters in body; edited title; edited body; added 39 characters in body
Mar
1
comment How to calculate modeled asset volatility by industry factor?
Try using a factor model?
Feb
28
revised Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
deleted 4 characters in body
Feb
28
answered Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
Feb
28
comment What is the necessary level of Econometrics-Know-How for a quant
Census X12-ARIMA is also pretty popular for de-seasonalizing also.