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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 years, 10 months
seen 6 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Sep
30
comment Forecasting Equity returns using state-space models
Can you go more into detail, maybe use some latex/equations?What is the regression model (dependent/independent variable), how does your state-space model look. Where does AR(2) enter the game? You can do regression with AR errors, or you can formulate a regression like model using State Space models ... what is it that you want to do?
Sep
30
answered Asynchronous Data Across Time Zones - RiskMetrics
Sep
25
comment Differential equation for log-returns
$ln(X_t)$ can be written in integral form as $ln(X_0) + \int_0^t d ln(X_u)$. So if you are interested in $ln(X_u) - ln(X_v)$ for $u>v$ then this is $\int_u^v d ln(X_u)$.
Sep
23
revised Differential equation for log-returns
deleted 1 characters in body
Sep
23
answered Differential equation for log-returns
Sep
20
accepted Average correlation of index/portfolio
Sep
20
revised Average correlation of index/portfolio
added 81 characters in body
Sep
20
comment Average correlation of index/portfolio
Thanks @John for checking the correlation!
Sep
20
comment Average correlation of index/portfolio
Thanks for your efforts @John, but the I was wondering about method 2 still ...
Sep
19
comment Average correlation of index/portfolio
I am sorry but I can not follow all these sums. I really appreciate your efforts to do all those calculations, but using the statistical estimators with all these sums does not make the picture clearer to me. Below in our answer you find a counter example ...
Sep
19
revised Average correlation of index/portfolio
Changed the denominator from $j>1$ to $j>i$
Sep
19
revised Average correlation of index/portfolio
Changed the denominator from $j>1$ to $j>i$
Sep
19
comment Average correlation of index/portfolio
Thanks for your detailed calculation. Unfortunately I had a typo up there. The second sum in the denominator should not be with $j>1$ but $j>i$. I try to check if your calculations still hold. However I prefer to work with probabilistic expressions (expectations, variances) instead if the statistical ones. This should reduce the number of sums and still yield the result.
Sep
18
revised Are there any other standard rates term structure decomposition than PCA?
Fixed typo
Sep
18
comment Is this methodology to calculate Alpha using multi-factor regression model correct?
I think you should improve the notation. You have $n$ funds $(F_i)_{i=1}^n$ and $K$ predictors $(E_j)_{j=1}^K$ and you want to model $F_i = \alpha_i + \sum_{j=1}^K \beta_{i,j} E_j$ - right? So you should not have $E_{i,j}$ ...
Sep
12
awarded  Enlightened
Sep
12
awarded  Nice Answer
Sep
11
comment What is exactly Euler's decomposition?
It is not mentioned here (neither in the question nor in the answers). One famous application of this theorem is the calculation of contributions to volatility.
Aug
30
answered how to make a distribution model tolerable of trend?
Aug
24
comment How to annualize skewness and kurtosis based on daily returns
First we need an answer for the iid case and then we can think of the other cases. Scaling of volatility in the correlated case is e.g. covered here. For higher moments the answer will be more difficult. As a fist step the iid case should suffice.