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Questions tagged [dimensions]

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1
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1answer
67 views

What are the units of the variance of returns?

I am a little confused about the units of the variance of returns. One way to compute that would be to look at the units of returns- $$r=\frac{1}{\Delta t}\ln\frac{P(t+\Delta t)}{P(t)}=\text{...
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0answers
30 views

Choosing the DoF for a t-copula when copulafit doesn't work

I'm currently writing my Master thesis where I investigate some different methods of dimension reduction regarding Value at Risk for very large equity portfolios. My current data set contains of 5000 ...
5
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2answers
199 views

How does the number of free dimensions of a model affect its required size of sample?

Adding more variables to a model usually increases its accuracy. However, without adequate analysis it could also lead to curve fitting. Another question (How much data is needed to validate a short-...
2
votes
1answer
160 views

Can determinant of liquidity risk be used as a dimension or measure of liquidity risk

Can I take liquidity risk determinant as a dimension of it in order to examine the impact of liquidity risk on performance of banks? For example in a literature, Tangibility i.e., ratio of fixed ...