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31 votes
9 answers
36k views

What is the best data structure/implementation for representing a time series?

1 vote
1 answer
252 views

Simulating correlated Geometric Brownian Motion with lag

3 votes
1 answer
138 views

Volatility Modelling negative GJR-GARCH-X coefficient

3 votes
1 answer
353 views

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

4 votes
1 answer
321 views

Daily realized volatility and true daily volatility

0 votes
1 answer
89 views

Performance attribution of indices to their sector weights

0 votes
1 answer
72 views

Is intra-forecast-horizon rebalancing suboptimal?

1 vote
1 answer
296 views

Volume bars, dollar bars from low-frequency data?

2 votes
0 answers
86 views

Interpretation of Chu-Stinchcombe-White CUSUM Test results

0 votes
2 answers
859 views

How to obtain one-step ahead forecast in Python based on GARCH?

4 votes
1 answer
837 views

Realized Variance (realized volatility)

1 vote
2 answers
186 views

Volatility forecast for 5-minute frequency data

0 votes
2 answers
225 views

comparing volatility and correlation over time

0 votes
1 answer
144 views

Can we spot informed trading from market prices?

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