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Active 2 Bountied Hot Week Month

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Decay factor and volatility (2 assets): do you keep simple correlation to calculate vol? or exponentially weighted correlation?

volatility time-series decay

asked 7 hours ago tweedi 199

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1

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28

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Can ARMA and GARCH models be estimated separately in ARMA/GARCH？

time-series garch arma

answered yesterday Alex 11

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1

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34

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How to apply decay factor in the volatility calculation for 1 asset?

volatility time-series decay

answered 2 days ago Kermittfrog 301

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1

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43

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Use futures contracts of different lengths to predict spot prices

time-series futures forecast quandl

modified Mar 26 at 17:44 Stéphane 801

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1

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31

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Relationship between Data Size and Arima Prediction Interval Width?

time-series prediction

modified Mar 26 at 2:00 Community♦ 1

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4

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6k

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Can the concept of entropy be applied to financial time series?

time-series

answered Mar 25 at 12:07 Martin Vesely 167

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3

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8k

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Squared and Absolute Returns

volatility time-series statistics auto-correlation stationarity

modified Mar 24 at 17:45 luai 1

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1

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633

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Can we use White's reality check to compare two Sharpe ratios?

time-series sharpe-ratio data-mining

modified Mar 22 at 1:02 Community♦ 1

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18

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How to use multi-periods and mult-factors to predict stock price by linear regression?

time-series regression machine-learning prediction

asked Mar 20 at 7:09 olivia 149

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1

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797

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How to efficiently get covariance matrices from a rolling window in Matlab?

time-series programming covariance

modified Mar 18 at 15:44 Likhitha Pinisetti 1

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37

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GARCH(1,1)-M MLE optimization with fmincon in R

options programming time-series

modified Mar 16 at 9:38 SlavicDoomer 11

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50

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Predicting time series based on another

time-series statistics statistical-finance prediction

answered Mar 16 at 9:35 mathtick 157

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1

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76

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R: Finding peaks on a stock price chart

equities programming time-series technical-analysis charts

answered Mar 16 at 8:51 Enrico Schumann 2,106

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27

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R-Help..Question regarding working day Frequency in Time series

programming time-series arima

asked Mar 4 at 14:16 Kap Jas 1

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