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Oct
27
comment How to retrieve and format futures data for use in regression/time series models?
I'm struggling to see how you can do that but that beyond the question anyway, so I think you can mark this as an answer.
Oct
27
comment Is there an implementation of VAR-EGARCH model in R or Stata?
Could you please edit your question by adding your comment in it so that it is clear and readable for the community? Then somebody might be able to answer it.
Oct
26
comment Asset pricing - Technology
Why do you assume $z_t = \ln(Z_t)$, it should be $z_t = \ln(Z_t) - \mu t$... and how does that help? $Z$ and $z$ are different here, but I think the notation is pretty bad. Basically this "is" a geometric brownian motion with autoregressive local volatility.
Oct
26
comment How to retrieve and format futures data for use in regression/time series models?
Yeah that's right but you regression formula does not make sense to me, because you do not know $P_{t+h}$ at time $t$. If you're happy with the answer then you can accept it.
Oct
26
revised Asset pricing - Technology
deleted 9 characters in body
Oct
26
revised How to get the IMM dates in Python for a given symbol?
added 4 characters in body; edited title
Oct
26
comment What methods are there for showing a time series is mean reverting?
Would you have any reference to provide?
Oct
26
revised What methods are there for showing a time series is mean reverting?
added 100 characters in body; edited title
Oct
26
comment Is there an implementation of VAR-EGARCH model in R or Stata?
Please provide a link to a definition for VAR-EGARCH model or even better, add it in the body of the question. For the package, just googling give a lot of potential candidates, have you tried some of these? Is the implementation for this particular version missing?
Oct
26
revised Is there an implementation of VAR-EGARCH model in R or Stata?
deleted 35 characters in body; edited tags; edited title
Oct
26
revised Where can I find data source for structural models?
deleted 28 characters in body
Oct
26
answered How to retrieve and format futures data for use in regression/time series models?
Oct
26
comment How to retrieve and format futures data for use in regression/time series models?
Your link is dead.
Oct
26
revised How to retrieve and format futures data for use in regression/time series models?
edited title
Oct
26
comment How to fit a copula to empirical data?
Please pay attention to typos and formatting when you post and are you using this in the context of quantitative finance? Otherwise, I'll move this to Cross Validated.
Oct
26
revised How to fit a copula to empirical data?
added 116 characters in body; edited title
Oct
23
comment How to use a change of numeraire to price this option?
Ok, so my option will depend on $\mu_{A,t}$ this time, right?
Oct
23
revised How to use a change of numeraire to price this option?
added 16 characters in body
Oct
23
comment How to use a change of numeraire to price this option?
Of course, it's a mistake in the question, let me adjust.
Oct
22
comment Where can I find data source for structural models?
The question is unclear, what do you need to source? Market prices? Correlations? At least give some explanations of the inputs of your system...