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seen Jun 21 at 22:14

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?
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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?
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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?
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Dec
27
revised How to detect regime change when estimating asset correlation from historical time series?
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Dec
27
revised How to detect regime change when estimating asset correlation from historical time series?
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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.