Timeline for Estimate covariance matrix using prices
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
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| Feb 1, 2020 at 19:22 | comment | added | Attack68♦ | @AmritPrasad yes agreed, misstatement on the expansion but the conclusion still valid: initial terms are still much more dominant | |
| Feb 1, 2020 at 19:21 | history | edited | Attack68♦ | CC BY-SA 4.0 |
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| Feb 1, 2020 at 18:12 | comment | added | Amrit Prasad | Could you please illustrate how you got the expansion to reduce to that expression? I got till $Cov(S,T)=\frac{1}{n}\Sigma_{t=1}^n(\Sigma_{i=1}^t\Delta S_i)(\Sigma_{i=1}^t\Delta T_i)$. It's not obvious how this reduces to that expression. | |
| Feb 1, 2020 at 16:59 | vote | accept | Amrit Prasad | ||
| Feb 1, 2020 at 17:11 | |||||
| Feb 1, 2020 at 14:33 | history | edited | Attack68♦ | CC BY-SA 4.0 |
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| Feb 1, 2020 at 14:17 | comment | added | mark leeds | That's such an interesting way of looking at it and I've never seen it explained that way before. Basically, even if we make reasonable assumptions about the price change, things still don't work out correctly. Thanks for great answer. | |
| Jan 31, 2020 at 12:21 | history | answered | Attack68♦ | CC BY-SA 4.0 |