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Jun
16
awarded  Popular Question
Jun
16
comment Regression model syntax
$y$ in this case is $r_{t+1}+ \cdots +r_{t+H}$. In training the model you have to form sets of $y$ and corresponding $x$ (which are terms involving $D$). These will overlap if you increase $t$ by $1$ only - which should be ok as this usually happens in time-series regression.
Jun
15
comment Regression model syntax
The term $D_{t_i,k}$ are based on past returns before $t$. So one could say that they are independent and that $r_{t+1} + \cdots$ is "dependent". I would rather say that these are explanatory for the latter. Do you want to find out how that $D$ terms are calculated precisely?
Jun
15
comment Implied volatility interview question
This is really basic ... let one parameter go to infinity ...
Jun
15
answered Regression model syntax
Jun
15
comment Monthly Return Net of Fees
$20\%$ fee? annual? Guess you mean $20\%$ of profits above a high water mark?
Jun
15
comment Monthly Return Net of Fees
This is either very basic or unclear. What fee? The return of what?
Jun
11
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
To the comment witth $D$ -> yes .. then your expected return is the risk free rate. For the expected value you should use the theoretical one because the sample estimate bears the sampling error. Concerning the compensator: it addresses the jumps .. for the Brownian motion part (if it is there) you simply set the drift to zero ...Fourier is the thing to do if you want to price an option.
Jun
10
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
I edited the question. for the risk neutral pricing you need to find the compensator of the Levy process.
Jun
10
revised Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
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Jun
10
revised Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
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Jun
10
answered Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
Jun
9
answered Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
Jun
9
comment Cointegration Test: Residual is stationary but not random?
Hi Jack, I applied some tex to the question. But to the content: why do you say that your residual is not random? Is it deterministic? If not then it is random. Or do you mean that it looks a bit periodic? The notion of stationarity is interesting in the context of random processes only. So how can it be stationary but not random?
Jun
9
revised Cointegration Test: Residual is stationary but not random?
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Jun
9
revised How do I calculate the PPP adjusted exchange rate between two countries?
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Jun
9
comment How do I calculate the PPP adjusted exchange rate between two countries?
Which page? which formula? can you write it into the answer?
Jun
8
comment Analyst vs firm claims on beta and return
This is just an exam question. In the first part you are asked to calculate the beta. And in ii) you are asked to calculate alpha. Everything else is just a story.
Jun
8
comment EGARCH formulation
Could you post a link to a reference?
Jun
8
answered Measure difference between estimations and historic returns