I studied economics and mathematics and I am doing now my Ph.D. in econometrics.
1 How to treat large (5K-10K) non-positive-definite (particularly near-singular) covariance matrices for Cholesky decomposition? May 9 '14
1 Is there an easily implementable alternative to lognormal growth (something with fatter tails)? May 15 '14
1 Conditional expectation of a non stochastic process Feb 20 '15
1 CAC40 components historical data Apr 15 '15