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Mar
14
comment Is Optimization ignoring correlation valid?
What is your back-testing period? And am I correct assuming that you're mostly focusing on stocks?
Mar
12
comment Yield on Fixed income futures
Are you taking accrued into account in the calculations, both at the time of purchase of the contract and at the time of delivery? The cost of carry would be the repo rate between the purchase date and the delivery date.
Mar
8
comment Improving GARCH modeling approach
I'd say first give ARMA a try, and check if the residuals have variable variance. If they do, you can check whether a combined ARMA(N,M)-GARCH(K,L) model is a better fit.
Mar
7
comment Is there a comprehensive reference book on US fixed income conventions?
Any specific book by him?