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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 months |
| seen | Mar 20 at 8:10 | |
| stats | profile views | 16 |
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Mar 18 |
awarded | Commentator |
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Mar 18 |
comment |
Kolmogorov-Smirnov test From my point of view, efficient means normal distribution and randon walk. |
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Mar 18 |
comment |
Kolmogorov-Smirnov test Ok and then let's asssume that your time series has passed Kolmogorov-Smirnov test for normal distrubition, and then you manage to proove that the underlying process is a random walk (for example with Hurst Exponent Analysis) is that sufficient? |
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Mar 18 |
asked | Kolmogorov-Smirnov test |
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Mar 8 |
comment |
Predict Market Direction, What is forecastable/unforecastable? The article argue that volatility dynamics drive sign dynamics. Indeed, if Rt is normally distribued For a given mean return, m, the probability of a positive return is a function of conditional volatility. As the conditional volatility increases, the probability of a positive return falls |
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Mar 8 |
comment |
Predict Market Direction, What is forecastable/unforecastable? Lol, i'm far from school from now even if i wish you were true about it. The reason of my question is follwoing this article jonathankinlay.com/index.php/2009/07/… that's arguing that sign is predictable while i ever heard that sign is not forecastable |
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Mar 8 |
asked | Predict Market Direction, What is forecastable/unforecastable? |
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Mar 8 |
comment |
Improving GARCH modeling approach Thanks for your commentary. I want to make sure everything is clear for me. In part 2 "Serial Correlation", in the second paragraph about "ARMA", do you suggest to skip GARCH for ARMA or do you suggest to build a model with both? |
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Mar 7 |
awarded | Student |
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Mar 7 |
comment |
Improving GARCH modeling approach Thanks for your work chris |
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Mar 7 |
asked | Improving GARCH modeling approach |
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Mar 7 |
awarded | Editor |
