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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?
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.
Dec
23
revised Why do low standard deviation stocks tend to have superior future returns?
added 9 characters in body
Dec
23
comment Why do low standard deviation stocks tend to have superior future returns?
The papers talk about stocks only.
Dec
17
revised Regressor: Nominal return, continuous return or first difference?
edited body
Dec
17
revised Regressor: Nominal return, continuous return or first difference?
added 161 characters in body
Dec
17
revised Regressor: Nominal return, continuous return or first difference?
added 12 characters in body
Dec
17
answered Regressor: Nominal return, continuous return or first difference?
Dec
17
comment What are the best Journals & Conferences in Quantitative Finance?
Here's something (ERA rankings in Australia) but not exactly what you want. lamp.infosys.deakin.edu.au/era/?page=fordet10&selfor=1502
Dec
16
comment Regressor: Nominal return, continuous return or first difference?
Hi Alexey, it is not clear to me what you're suggesting. Is it possible you could write out the proposed transformation you're suggesting that I use in my model?
Dec
16
comment Should I use GARCH volatility or standard deviation in cross-sectional regression?
Yeah I should have. I think we've talked about it enough and we should get on with our lives :-). Thank you for your contribution (just because I changed correct answer doesn't mean I didn't find it helpful!)
Dec
16
comment Regressor: Nominal return, continuous return or first difference?
Thank you for your help! Unfortunately, while it is true that it's already in a rate of return form, the interest rate is almost always non-stationary according to an ADF test so it is not an option to include it as is. Also, could you give some detail about your evoluationary algorithm approach? I am thoroughly intrigued!
Dec
16
comment Should I use GARCH volatility or standard deviation in cross-sectional regression?
Freddy I have been thinking about this for a while. I am still not sure. The reason I switched answers originally is because Bob made me consider EWMA when I had previously not considered it, and also because I don't view computational burden as an issue because I'm using low frequency data (meaning that, in my perception, your resulting recommendation lacked any substance when it came to my specific application).
Dec
16
accepted Should I use GARCH volatility or standard deviation in cross-sectional regression?
Dec
16
comment Cointegration trading: Ignoring pairs that aren't economically related
Thanks Rocko. Can you please elaborate on your last sentence?