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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?