Jase

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Jan 16	comment	Regressor: Nominal return, continuous return or first difference? Thank you. I think because I'm using low frequency monetary policy rates it makes sense for it to be non-stationary. For example if a central bank changes mandate half way through the sample (e.g. adjusts inflation target band from 2-3% to 2.5-4%). Or if the country had hyperinflation in the early 1990s and then finally got it in control by the 2000s.
Jan 16	comment	Why do low standard deviation stocks tend to have superior future returns? @bonCodigo I don't understand.
Jan 15	comment	What type of analysis is appropriate for assessing the performance time-series forecasts? Wow! So simple!
Jan 12	comment	Asymmetric Volatility Modeling (Interpretation) If you get good answers to these questions you'll probably have to acknowledge "helpful discussions" on stackexchange in the acknowledgements section of the paper.
Jan 9	revised	How to fit ARMA+GARCH Model In R? added 122 characters in body
Jan 9	answered	How to fit ARMA+GARCH Model In R?
Dec 29	accepted	Why use market capitalization weighted index over PCA?
Dec 29	asked	Why use market capitalization weighted index over PCA?
Dec 29	comment	Volatility models using Rugarch What are you trying to do? If you're doing an empirical study and you decide to go with the one model that generates statistical significance then this sounds like data snooping bias.
Dec 28	comment	What is the intuition behind cointegration? This is really fantastic.
Dec 28	comment	Regressor: Nominal return, continuous return or first difference? -1 unless it's explained why it's fine to put a non-stationary regressor in the linear model.
Dec 28	comment	Regressor: Nominal return, continuous return or first difference? But the Augmented Dickey Fuller testing shows that it's non-stationary for most countries (p-value is mostly > 0.05). How can I now include it in the regression? Wouldn't I be getting spurious results? Just by eyeballing the data matrix it's obvious that there's trending and all sorts of non-stationary behavior in these series. Completely agree with your second paragraph.
Dec 28	revised	Regressor: Nominal return, continuous return or first difference? added 98 characters in body
Dec 28	comment	How to interpret results of Johansen Test? I thought we have to make sure we're not entering any $I(0)$ variables into the Johansen procedure? `Introductory Econometrics for Finance` begins their Johansen chapter with 'Suppose that a set of $g$ variables are under consideration that are $I(1)$ and ....'. Also wouldn't you just get trivial cointegrating relationships if you enter in $I(0)$ variables?
Dec 28	awarded	Enthusiast
Dec 27	revised	How to detect regime change when estimating asset correlation from historical time series? edited body
Dec 27	revised	How to detect regime change when estimating asset correlation from historical time series? added 162 characters in body
Dec 27	revised	How to detect regime change when estimating asset correlation from historical time series? added 23 characters in body
Dec 27	answered	How to detect regime change when estimating asset correlation from historical time series?
Dec 27	comment	How do I graphically represent the evolution of a covariance matrix over time? Multivariate DCC is another way. There is support for this in the `rmgarch` package.