Timeline for Is an autocorrelation of the abs returns just a consequence of the volatility burst?
Current License: CC BY-SA 3.0
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| when toggle format | what | by | license | comment | |
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| May 1, 2017 at 17:32 | vote | accept | zer0hedge | ||
| Apr 30, 2017 at 16:52 | answer | added | Aksakal almost surely binary | timeline score: 2 | |
| Apr 27, 2017 at 6:52 | history | tweeted | twitter.com/StackQuant/status/857487571093516288 | ||
| Apr 27, 2017 at 4:03 | answer | added | David Addison | timeline score: 4 | |
| Apr 26, 2017 at 13:32 | history | edited | zer0hedge | CC BY-SA 3.0 |
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| Apr 26, 2017 at 12:39 | history | edited | zer0hedge | CC BY-SA 3.0 |
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| Apr 26, 2017 at 12:17 | answer | added | JejeBelfort | timeline score: 2 | |
| Apr 26, 2017 at 12:01 | history | edited | zer0hedge | CC BY-SA 3.0 |
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| Apr 26, 2017 at 11:38 | comment | added | zer0hedge | @JejeBelfort I added picture of "Random". Spike of volatility means that volatility has been increased dramatically for some period of time and then returned to the previous level. A similar pattern can be found in "SieRet" signal | |
| Apr 26, 2017 at 11:36 | history | edited | zer0hedge | CC BY-SA 3.0 |
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| Apr 26, 2017 at 10:14 | comment | added | JejeBelfort | I am not familiar with R, but if your code indeed introduces a SINGLE spike, then it is unlikely that the resulting ACF will change significantly by definition. Try to add at least a couple of spikes to see a potential change. | |
| Apr 26, 2017 at 9:21 | history | asked | zer0hedge | CC BY-SA 3.0 |