Questions tagged [estimation]
The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.
27
questions with no upvoted or accepted answers
6
votes
0answers
107 views
Estimation of right truncated poisson process
I have following problem:
Imagine I generate large number of homogenous poisson process sample paths (by sample path I mean a sequence of arrival times $\tau_i$ all with the same intensity. However ...
6
votes
0answers
119 views
What kind of errors arise when I fit ARMA(1,1) to data generated from ARMA(1,1)-GARCH(1,1) process?
As far as I know estimates of parameters of ARMA(1,1) are asymptotically optimal when fitted to data from ARMA(1,1)-GARCH(1,1) process, and only their variance increase, so when we assume large ...
5
votes
0answers
290 views
Estimation of ranks of log-returns via copula
I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
4
votes
0answers
125 views
Model-Free Option Pricing
From Breeden and Litzenberger (1978) and subsequent work, we may find the risk-neutral density $q_{S_T}$ of $S_T$ from European option prices - assuming there are enough traded options (e.g. SPX) via
...
3
votes
0answers
78 views
How rapidly should estimated volatility and volume change for estimating market impact in small markets?
The cost of market impact is usually modeled as:
$$
\Delta{P} = \delta \sigma (\frac{Q}{V})^{1/2}
$$
Where:
$ \Delta{P} $ is the change in price of the asset caused by the transaction size $Q$
$\...
3
votes
0answers
175 views
Derivation of variance of Zhou (1996) volatility estimator
Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996)
Zhou 1996
Any help would be ...
3
votes
0answers
207 views
Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?
I have several assets, each with different return histories.
Some of the assets have 75 days of return history, others have 40 or so days. In calculating a robust covariance matrix, should I be using ...
2
votes
0answers
49 views
ARMA-GARCH estimation with EGB2 distribution
I want to estimate a ARMA-GARCH model by using the EGB2 distribution instead of the normal distribution. The model I want to estimate is:
$$y_t = \mu + \phi_1 y_{t-6} + \phi_2 y_{t-8} + \theta_1 \...
2
votes
1answer
172 views
How to compute a single Value-at-Risk (a single quantile) of portfolio returns taking into account correlation between individual returns?
Introduction
My goal is to retrieve a single Value-at-Risk (VaR) of a N(0, H) random variable $X$ at the $\alpha \in (0,1)$ confidence level where H is a known d-dimensional positive definite matrix ...
2
votes
0answers
28 views
Understanding pooled VAR model
I encountered a paper by Vuolteenaho (2002) in which he uses pooled VAR model. I have some troubles understanding the idea. He uses firm level variables (log returns, ROE, etc.) and ultimately he ...
2
votes
0answers
47 views
How to calculate the estimation error of portfolio variance using propagation results?
I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
1
vote
0answers
16 views
fiscal period end date
If a quarterly report is released tomorrow, is there any way to figure out the date the quarterly period ended without manually researching? Such as an API?
I think there is a deadline of 35/60 ...
1
vote
0answers
63 views
Estimating an GARCH(1,1) model? Long hand method
I am really trying to invest some time to estimate a GARCH(1,1) method, I know there is many statistical packages that will do this for me (Eviews, MATLAB, R), but I am trying to do this by hand, so ...
1
vote
0answers
22 views
Sample distribution of cross-sectional statistics of returns
Currently doing an application of VaR on sample of industry portfolios in the US. I have a matrix of $n$ industry portfolios with $m$ time-series observations. I calculate cross-sectionally (for each ...
1
vote
0answers
184 views
How accurate are Black-Scholes estimates of Vega, Volga, Vanna
Wikipedia provides analytical formulas for calculating Greeks. I can get Delta, Gamma, Theta all from Bloomberg. I need Vega, Volga, Vanna for my research. Should I use these analytical formulas for ...
1
vote
0answers
288 views
Fama French- typical time lag
I have daily prices of 400 stocks for the last 10 years. I have to create each month a portfolio of 20 stocks that minimizes variance with 2 approaches:
1) Estimate volatility with a GARCH(1,1) model ...
1
vote
0answers
409 views
Estimating parameters of the Cox-Ingersoll-Ross model using CLS in R
I'm working on a project where I need to estimate the parameters of the CIR model. In the particular case, the CIR model is used to model cumulated capital calls for a private equity fund.
The data ...
1
vote
0answers
46 views
How to estimate bond price returns via an index?
Let's say I have a corporate bond, for which I know current yield, modified duration, coupon and maturity. I want to estimate how it would have performed under certain market conditions by looking at ...
1
vote
0answers
231 views
Relationship between in-sample and out-sample periods length
I have two general questions regarding "in-sample fitting vs. out-of-sample backtesting" kind of analyses. Is there any relationship between the length of the data collected for in-sample fitting ($a$)...
1
vote
0answers
671 views
How to fit exogenous + GARCH Model In Python?
I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model.
In an ...
1
vote
0answers
1k views
Skewed Generalized Error Distribution's (SGED) pdf
I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
1
vote
0answers
62 views
What are the estimation methods for SV models?
I want to know about some methods like Methods-of-Moments, Quasi-Maximum Likelihood method, Baysian methods using Markov Chain Monte Carlo methods.
Is there any reference to have an idea of these ...
1
vote
0answers
108 views
Derivation of a ML estimator
I have the following likelihood function:
I'm given this information about the $\Omega$ matrix ($\boldsymbol{1}$ is a $T \times 1$ vector of ones):
I would like to be able to show that the ...
0
votes
0answers
43 views
0
votes
0answers
56 views
How is Kalman Filter used to estimate Term structure Models
I am implementing "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments" . This paper is using kalman filter to estimate the state and the mean variance and a parameters on ...
0
votes
0answers
109 views
Monte Carlo volatily
I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD :
Simulating a lot of possible paths on 1 year
then calculate the volatilty for ...
0
votes
0answers
81 views
Approximating an SDE for Volatility Estimation
Consider the SDE
$$
dT(t) = ds(t) + a(s(t) - T(t))dt + \sigma dW(t)
$$
where $s(t)$ is a deterministic function that turns out to be the long-term mean (this SDE is used to model daily temperature, so ...
