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16h
comment Is variance additive only under Log-returns?
The answer is simple: no. You need all of the three such that it is true: the time-additiviy of log-returns, uncorrelatedness and equal variances.
1d
comment Specifying integration level of time series
I'm voting to close this question as off-topic because it belongs to stats.stackexchange.com
1d
answered Is variance additive only under Log-returns?
Aug
6
comment Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries
Why don't you post this statistical question here: stats.stackexchange.com?
Aug
5
comment Why is two-factor model so popular for bond futures?
Right ... with the edit of "first two" this is very likely.
Aug
4
revised Calculating VaR with Monte Carlo simulation
added 28 characters in body
Aug
4
answered Calculating VaR with Monte Carlo simulation
Aug
3
revised Influencing factors on credit
edited title
Aug
3
revised Greeks of a swaption using Brigo
edited title
Aug
3
revised Greeks of a swaption using Brigo
edited title
Aug
2
awarded  Popular Question
Jul
20
revised Negative adjusted strike in Levy's Asian option approximation?
edited title
Jul
20
comment Fit linear model to higher moments of CAPM
It is what I have started to write above: use the definitions.
Jul
20
comment Fit linear model to higher moments of CAPM
The coefficients are all calculated the usual way. The regressors are defined as you do ... just your formulas are not correct for an OLS regression.
Jul
20
revised Fit linear model to higher moments of CAPM
added 843 characters in body
Jul
20
comment Fit linear model to higher moments of CAPM
No, the coefficient is caclulated in the usual way. I will edit my answer.
Jul
20
answered Fit linear model to higher moments of CAPM
Jul
20
comment Computation of Expectation
Where does the condition $\beta< 1/T$ come from?
Jul
17
answered Intuitive Explanation for Volatility Smile for Equity
Jul
9
comment Solving the Bootstrapping equation when matrix is non-square
This is very similar to the Moore-Penrose pseudoinverse.