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Annualizing Sharpe Ratio using small time frames

time-series programming portfolio-management sharpe-ratio

modified Nov 1 at 16:00 Hunaphu 111

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Coming up with a statistic that is responsive to changes in a time series, yet not too volatile

time-series

asked Oct 27 at 20:18 u10021230 151

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Error message when backtesting GARCH in R

time-series programming garch

modified Oct 21 at 6:35 skoestlmeier 2,095

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How to get formulas for EWMA model with M-day records

time-series moving-average derivation

modified Oct 20 at 11:14 Magic is in the chain 3,779

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How can I estimate a dynamic GARCH model using a Kalman filter methodology in R or MATLAB?

time-series programming garch modeling kalman

modified Oct 20 at 9:39 Richard Hardy 1,205

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185

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Determining if a time series is random

time-series normal-distribution random-walk

modified Oct 12 at 19:37 Dave Harris 2,716

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Why are GARCH models used to forecast volatility if residuals are often correlated?

volatility time-series forecasting best-practices

modified Oct 9 at 16:10 user42891 1

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Clusters evolution over time

time-series machine-learning clustering k-means

modified Oct 8 at 3:43 Egodym 620

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96

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Why OLS in Fama French time series regression?

time-series

modified Oct 5 at 19:48 Alex C 7,823

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What is a stationary process?

time-series stochastic-processes stochastic-calculus stationarity terminology

modified Sep 21 at 14:24 Rodrigo de Azevedo 231

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Fama French Three Factor Model: How do I get the risk premia?

equities time-series regression

modified Sep 17 at 20:31 demully 1,388

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Up and Down days in GBPUSD and a Filter

time-series trading backtesting

modified Sep 17 at 20:01 Community♦ 1

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194

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Can you use GARCH-MIDAS for intraday data?

equities time-series garch high-frequency

answered Sep 15 at 15:26 lehalle 7,947

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time series data modeling for deep learning

time-series historical-data prediction neural-networks

answered Sep 14 at 18:02 lehalle 7,947

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