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seen Mar 9 at 10:33

Aug
28
comment Using rolling returns in a multivariate linear regression?
I can't seem to find any deterministic solutions and I am not conducting such a study for academic purposes so I can't afford to be lazy with assumptions. I will post back once I have some results of interest
Aug
21
comment Appropriate method for calculating negative returns on a trading strategy?
change from one point to the next
Aug
21
comment Appropriate method for calculating negative returns on a trading strategy?
I agree with you about the arithmetic statement.. but the data was requested in log returns
Jul
12
comment Using rolling returns in a multivariate linear regression?
I am using matlab. if there are any practical examples for using an ARMA model approach that would be great. I still don't quite grasp how the ARMA model is supposed to work..
Jul
11
comment Using rolling returns in a multivariate linear regression?
where can I read more about this approach of using an ARMA model? ARMA model will help to deal the smoothing for rolling returns but I dont quite understand what you mean by model the residuals?
Jul
10
comment Using rolling returns in a multivariate linear regression?
once I difference (once) the rolling returns and the factors it seems to handle any issues that may violate the requirements of the OLS.. I still think I am missing something?
Jul
10
comment Using rolling returns in a multivariate linear regression?
Would it be valid(correct) to difference the rolling returns in order to assess the robustness of the regression? and then after convert it to levels data.. in matlab; diff(rolling returns) --> run regstats(x,y) --> obtain regression stats data --> return to levels data: cumsum(yhat) in order to obtain prediction?