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Questions tagged [missing-values]

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Covariance matrix of Gaussian EM output

I have a project where i wanted to use Expectation Maximization to fill in missing logreturns. With regards to that I have a question I haven't been able to solve. Logically EM should decreese ...
GTT's user avatar
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-1 votes
1 answer
100 views

Why are there missing prices for 1981-04-17?

I was going over historical prices in Yahoo Finance, when I noticed that AAPL and IBM have no prices for 1981-04-17. I have a couple of questions regarding this: Why are the prices missing? In the ...
user1337's user avatar
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1 vote
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What is the reference for excluding a covariate if there is many missing observation?

Normally, I exclude a covariate out of the regression equation if there are many missing observations, let's say it is one-fifth less observation compared to other variables' observations in general (...
Nguyen Lis's user avatar
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580 views

What is the best way to impute missing values for financial data?

I've been tasked with imputing missing values for a dataset of ca. 4000 firms and 225 key metrics (e.g. revenue, net income, EPS, PE etc.). Since I haven't found a thread on here which answers my ...
AtK42's user avatar
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3 votes
1 answer
208 views

Missing observations in ICE Swap rates

While searching time-series data for different interest rate benchmarks, I found that for the USD, all observations are missing for the period between March 2020/April 2020. This discontinuity is ...
alexbougias's user avatar
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191 views

Covariance/correlation matrix from data with missing data points

I have a data set with index fund quotes, and I'm trying to compute the efficient portfolio frontier for it. But some data points are missing. In some cases there are few funds that trading even on ...
kjam's user avatar
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2 answers
748 views

How to deal with missing returns?

I'm backtesting a strategy that forms stock portfolios on a monthly basis. It sometimes happen that a stock chosen on month t does not have return data on month t+1, so I can't correctly calculate ...
krcruz's user avatar
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2 answers
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Significance Of Missing Data for RMSE Estimation

I have a time series covering ten years of daily close prices, which I compare to a theoretical time series generated by a model. The original series has a handful of missing data points (~2%), some ...
JPang's user avatar
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3 votes
0 answers
69 views

Dealing with missing factors

I have to deal with a factor investing strategy, with the particularity that I can't get a value for the factor for each date for each stock. Practically speaking, this is due to the fact that this ...
DomingoBrown's user avatar
3 votes
1 answer
1k views

R, Performance Analytics, How to chart continuous line with non continuous data?

In R, with Performance analytics package, I am trying to chart multiple cumulative asset returns from an XTS object. The thing is that I miss some data from some asset returns so that the graph given ...
JoeBadAss's user avatar