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awarded  Notable Question
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Jan
8
comment Switching from C++ to R - limitations/applications
The link to the PyCon talk is dead, but I found it at the following URL: pyvideo.org/video/305/python-in-quantitative-finance-158
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25
awarded  Taxonomist
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awarded  Scholar
Mar
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accepted Why are GARCH models used to forecast volatility if residuals are often correlated?
Mar
9
accepted Is there a standard method for getting a continuous time series from futures data?
Mar
9
accepted What type of analysis is appropriate for assessing the performance time-series forecasts?
Feb
26
comment Why are GARCH models used to forecast volatility if residuals are often correlated?
It has been my experience that forecast residuals exhibit strong serial correlation. Quite a few papers discuss this issue as a very common problem with forecast assessment. See papers.ssrn.com/sol3/papers.cfm?abstract_id=331800
Feb
25
revised Why are GARCH models used to forecast volatility if residuals are often correlated?
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Feb
25
asked Why are GARCH models used to forecast volatility if residuals are often correlated?
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14
awarded  Nice Question
Feb
10
asked Is there a standard method for getting a continuous time series from futures data?