Reputation
1,440
Top tag
Next privilege 1,500 Rep.
Approve tag wiki edits
Badges
1 5 27
Impact
~12k people reached

Aug
22
reviewed Leave Closed Strange / Incorrect / Unusual Data on Google Finance 1988
Aug
13
awarded  Popular Question
Aug
10
awarded  Revival
Aug
4
reviewed No Action Needed Is $\frac{P(t,S)}{P(t,T)}$ martingale?
Aug
3
reviewed No Action Needed Unsmoothing of returns
Aug
3
reviewed Approve Market price of volatility risk
Aug
1
reviewed No Action Needed How to calculate the JdK RS-Ratio
Jul
23
reviewed Approve Distribution of hitting time of the integrated CIR process
Jul
18
reviewed Approve Computation of Expectation
Jul
18
reviewed No Action Needed justification of square root process
Jul
16
reviewed Approve Vega in Heston / Bates Model
Jul
15
revised Intrepreting the Capital Market Line plot
fixed grammar and formatting
Jul
13
revised How does one simulate intraday strategies which don't end up flat at the close?
improved formatting, fixed grammar
Jul
13
comment Interpretation of Johansen cointegration test in R
Hi @FlàvioCorinthians and welcome to quant.SE! Could you improve the question format? For instance, you could add the label to the test (c-value, p-value,..). Moreover, I suggest you to browse in quant.SE, since there are a lot of questions about cointegration test interpretation (see, for example, quant.stackexchange.com/questions/2076/…)
Jul
12
comment Compare events effect on stock prices from different time periods
If you take a look to the Kothari's paper, you'll see that the windows size usually used is 60 days, but it is a rule of thumb only; you can change that. As regards the methodology, it is the simpler case with one dummy as regressor; you should after calibrate and adjust for the risk the model. I just give you the hint, now, it depends on you and on what you need for! :) Anyway, I suggest you starting from the simpler model case and after adjust calibrate and add other variables!
Jul
12
comment Compare events effect on stock prices from different time periods
Generally, the event-study methodology is equal for all assets/mkts you're going to analyze; moreover, I think that the models I proposed should be better too for the corporate credit market, because you will have more rating news observations with respect to the sovereign one. Said that, can you specify what do you not understand in the regression model explained above, @GaryUpper? It would be easier helping you!
Jul
11
comment Compare events effect on stock prices from different time periods
Hi @GaryUpper! Please, remember to mark the answer with a check, in the case your question has been fulfilled!
Jul
11
comment Expert System for Credit Scoring
I didn't do that in R @Charlotte, but I know you can do that by using the package "anesrake"; alternatively, you can do it manually, by setting $\beta_k$ equal to a value and seeing if AUROC/Accuracy ratio increases (running again the stepwise variable selection procedure each time). Anyway, balancing the sample, IMHO, remains the optimal (and simpler) solution.
Jul
11
comment Expert System for Credit Scoring
Please, in the case the answer fulfills your question, please mark that with the check @Charlotte!
Jul
11
revised Expert System for Credit Scoring
deleted 9 characters in body