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Mar
9
comment Improving GARCH modeling approach
@ikh Nice comment. Definitely go for the AR(N) in the mean equation if there's first moment serial correlation.
Feb
27
comment Toy models of asset returns
I have no idea but perhaps some you could consider: A skewed-t distribution... Or, a gaussian distribution for the centre and generalized pareto distribution (or generalized extreme value distribution) for a parametric distribution of tails (see extreme value theory). Then you just tweak the tail parameter to get whatever tail area you want. You could maybe use a multivariate parametric Vine copula to paste the univariate distributions together and create your economy.
Feb
9
comment R ARMA-GARCH rugarch package doesn't always converge
i've found that GARCH fails to converge often due to outliers. Try winsorizing the data at 98% and it should converge. If not try asymmetric GARCH. Best is probably to use a new outlier robust GARCH but I don't think rgarch has those yet. This might be the case with datastream data if the market is open on different days to the standard daily dates that Datastream uses, in which case there'll be a large number of zero return days, but I haven't really explored this hypothesis yet (but I suspect it given the type of data that fails to converge that I've played with).
Jan
27
accepted Is there a copula that can estimate negative tail dependence?
Jan
26
comment Why do low standard deviation stocks tend to have superior future returns?
Could you briefly summarize the paper (objectives, main findings) in a few sentences so I can award the answer?
Jan
22
comment Is there a copula that can estimate negative tail dependence?
Yes very nice!!
Jan
22
comment Alternative ways to understand time-varying comovement between two time-series?
Answer to the question is that time-varying Kendall's tau can be estimated through a time-varying copula with something like a GJR-GARCH-ARMA-t for the univariate marginal distributions.
Jan
22
asked Is there a copula that can estimate negative tail dependence?
Jan
19
comment Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
What are their methods? If you can claim that they're straightforward then that implies that you know what they are.
Jan
17
awarded  Investor
Jan
16
revised How to detect regime change when estimating asset correlation from historical time series?
deleted 177 characters in body
Jan
16
comment Alternative ways to understand time-varying comovement between two time-series?
@Freddy Apparently it also allows us to look at the time-varying correlation at the distributional extremes, sort of like a time-varying quantile correlation estimator (which actually has just been invented in the last 6 months, including standard error asymptotics, although nobody has referenced it yet). It's applied to good effect here: sciencedirect.com/science/article/pii/S1059056010001358
Jan
16
comment Alternative ways to understand time-varying comovement between two time-series?
@Freddy This one seems to be a good one: wisostat.uni-koeln.de/Institut/LSMosler/Manner/…
Jan
16
revised Alternative ways to understand time-varying comovement between two time-series?
edited title
Jan
16
comment Alternative ways to understand time-varying comovement between two time-series?
@Freddy Something that captures both the time-varying linear AND non-linear correlation/relationship between two time-series. I've edited the title to make it less confusing. Also, I have just learned that various 2006+ copula methods have been developed that can achieve what I want.
Jan
16
asked Alternative ways to understand time-varying comovement between two time-series?
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.