JL344

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571 reputation

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6 Answers

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17	Why is the ratio of Hi-Low range to Open-Close range close to 2?
8	Skewness and Kurtosis under aggregation
3	Proof for non-positive semi-definite covariance matrix estimator
3	Why should there be an equity risk premium?
3	How does Cornish-Fisher VaR (aka modified VaR) scale with time?

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571 Reputation

+20	Why is the ratio of Hi-Low range to Open-Close range close to 2?
+10	Proof for non-positive semi-definite covariance matrix estimator
+10	Musiela parameterization
+10	Skewness and Kurtosis under aggregation

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2 Questions

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4	Is it more accurate to analyze returns on a calendar day basis than a trading day basis?
3	How to measure a non-normal stochastic process?

20 Tags

17 data	8 kurtosis
17 analysis	3 value-at-risk
8 statistics × 2	3 var
8 returns × 2	3 equities
8 skew	3 risk

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