27 reputation
4
bio website
location
age
visits member for 1 years, 10 months
seen Apr 20 at 18:23

Apr
8
comment How to compare different volatility measures?
What do you suggest about RV(t) estimate Jase? How may I define RV?
Apr
5
accepted How to compare different volatility measures?
Apr
5
comment How to compare different volatility measures?
Thanks a lot @pbr142! your have really been a help to me.
Apr
4
comment Downloading Quotes in CSV format from Yahoo Finance - Beta symbol?
I can download the file .csv, but no data in. Can you explain better how to use the link?
Apr
4
comment How to compare different volatility measures?
I'm sorry @Brian for the bad way in which I asked the question for. I modified it and I hope it can result clearer.
Apr
4
revised How to compare different volatility measures?
added 458 characters in body
Apr
3
awarded  Supporter
Apr
3
revised How to compare different volatility measures?
added 3 characters in body
Apr
3
asked How to compare different volatility measures?
Mar
20
accepted Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
Mar
12
comment Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
Thanks John, I already took a look to that link and conducted that analysis, but that procedure only compares different GARCH(p,q) model and provide the best one among two ones; I would like to find the correct number of lags to estimate GARCH, for instance, using AIC/BIC/SIC information criterion.
Mar
11
asked Optimal lag length selection criterion in GARCH(p,q) model using MATLAB
Jan
27
comment What are the econometric assumptions in the Fama-Macbeth procedure (1973)?
The assumptions on which the procedure is based are the same of the simply linear model. You can find that also here: en.wikipedia.org/wiki/Linear_regression#Assumptions. In the case you need for some more deepened source about this topic, I suggest you to study that on some introductory econometrics books.
Jan
26
awarded  Editor
Jan
26
awarded  Scholar
Jan
26
revised What's the meaning of the intercept in asset pricing model?
edited title
Jan
26
accepted What's the meaning of the intercept in asset pricing model?
Jan
26
comment What's the meaning of the intercept in asset pricing model?
Thanks for the comprehensive answer @Alexander. I knew the first case, in which one analyzes the asset returns, but not the latter. Anyway, in your opinion, by assuming efficient mkt hypothesis, if I find a statistically significant and null α, I theoretically will find a proper model to analyze asset prices, right?
Jan
26
awarded  Student
Jan
25
asked What's the meaning of the intercept in asset pricing model?