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Jun
8
comment Return volatility or Price Volatility
looks like a duplicate ... quite basic anyways.
Jun
8
answered EGARCH formulation
Jun
8
comment EGARCH formulation
You need a $\log$ on the lhs of the equation.
Jun
8
comment EGARCH formulation
Good point, I will answer
Jun
8
comment EGARCH formulation
If you use latex then it works better if you add the $$ signs ;)
Jun
8
revised EGARCH formulation
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Jun
8
comment Calculate the realised volatility from a time series
What do you mean? What is the aim of your calculation. Just looking at annualized ex-post standard-deviation is not enough?
Jun
8
revised EGARCH formulation
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Jun
8
comment Binomial representation of stochastic processes
Very good point to relate the issue to the question of recombination!
Jun
2
revised Modern portfolio theory in practice
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Jun
2
comment Regression model when samples are small and not correlated
Interesting question - could you use latex?
Jun
1
comment returns of Bonds and exchange rates
Please have a close look at the drift term of an SDE and the expected value of the process. Then decide how to fit the parameters of the sample to the parmeters of the SDEs. Details are described above.
Jun
1
comment returns of Bonds and exchange rates
one more edit. ..
Jun
1
revised returns of Bonds and exchange rates
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Jun
1
comment returns of Bonds and exchange rates
I edited the answer. If you model the log-returns as normally distributed then you don't have to change the mean in any way.
Jun
1
revised returns of Bonds and exchange rates
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Jun
1
comment Models crumbling down due to negative (nominal) interest rates
Well, BS on a stock does not break down. Black 76 when the underlying is a negative rate itself does.
Jun
1
answered returns of Bonds and exchange rates
Jun
1
comment Realized Volatility: errors correlation
Have you got it the number $0.1$ for various sub-samples too? Otherwise I would say that $0.1$ is not significant.
Jun
1
revised Why is the variance of a portfolio a quadratic form?
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