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May
5
comment How to infer correlation?
Of course you don't know it but by using MC you introduce a sampling error when you can something analytic instead.
May
5
revised martingale decomposition problem
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May
5
comment How to infer correlation?
if you do MC sample you usually don't have the exact covariance (see e.g. Sampling with exact covaraince). So if you can have the exact covariance - why not use it?
May
5
comment martingale decomposition problem
Is the expectation without the conditioning on $G_t$?
May
5
comment How to infer correlation?
Looks correct to me ... so thus would be approach 2) but with an OLS story behind it.
May
5
answered How to infer correlation?
May
4
answered Why is the variance of a portfolio a quadratic form?
May
4
revised Why is the variance of a portfolio a quadratic form?
added 4 characters in body
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
looking at maxddStats it looks as if they use simple MC ...
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
Very complete answer, thank you
Apr
30
accepted Expectation of maximum draw down in the Brownian motion case
Apr
30
revised Expectation of maximum draw down in the Brownian motion case
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Apr
29
asked Expectation of maximum draw down in the Brownian motion case
Apr
27
comment How to fit a SARIMA + GARCH in R?
Yes, that's one way to go: first fit an Arima model and then fit a GARCH model to the errors. The prediction of the Arima model will not depend on the GARCH error - confidence intervals however will.
Apr
24
comment Empirical distribution function of overlapping time series data
Sorry ... personal communication only.
Apr
24
revised Empirical distribution function of overlapping time series data
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Apr
23
comment computation involving independent increments
Where on math.stackexchange can we find the answer? The question as posted here must be wrong as in the first line you have an ordinary expectation (thus a real number) on the lhs and a random variable on the rhs.
Apr
22
answered Value-at-Risk of the sum of three independent lognormal random variables with different confidence level
Apr
22
comment Value-at-Risk of the sum of three independent lognormal random variables with different confidence level
The quantile is different (everything else would be a miracle) but the confidence level is the same, right?
Apr
21
answered Complete Multiperiod Binomial model