SRKX
Reputation
6,981
37/100 score
 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...