Questions tagged [statistics]

The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.

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Stock returns: Determining the window size

I am looking for a rigorous way to determine a suitable rolling window size for my stock data. Factors that will influence the window size are how fine my data is (minutely, daily, weekly etc.) and ...
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58 views

J-test and Empirical Model Performance of Conditional and Unconditional Estimations (as for example in Cochrane (1996))

Take for example the Consumption-based model with a power utility function estimated by Cochrane in his paper "A Cross-Sectional Test of an Investment-Based Asset Pricing Model" (1996). The following ...
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165 views

Expected shortfall of stable distribution by Stoyanov

I've been working on calculating parametric ES assuming the returns follow Paretian stable law. Given the four parameters - $\alpha, \beta,\sigma,\mu$- Stoyanov introduces closed form solution of the ...
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81 views

Transformation of GARCH Equation to multiple-day Forecast Equation

I want to understand the procedure of how to predict with the GARCH Modell. Therefore it is said that a one day ahead forecast is easy due to the fact that the GARCH equation can produce this. ...
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49 views

Distribution of loans by types of interest

Im looking for some kind of report that would inculde data on the distribution of corporate loans by types of interest(fixed/floating), specifically global not just for one country(developed, ...
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140 views

logistic regression multivariable fractional ploynomials stata vs. R

I a going through Hosmer, Lemenshow and Sturdivant's (HLS) Applied Logistic Regression (2013) and trying to interpret the difference between what STATA is doing and what R is doing. Concerning the fit ...
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46 views

Deming Regression

I am trying to test the linearity = interdependence or the non-linear (contagion) between Asian countries during the Asian crises using the fluctuation of the exchange rate. Is it relevant to use the ...
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89 views

Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
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76 views

state space for affine yield curve

i would like to reproduce in R the working paper " Affine free arbitrage class of Nelson Siegel term structure". The authors considering the equation of nelson siegel plus an adjustment term(C(t,T)) ...
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27 views

How do I calculate what % of price hits R1 before pivot

I am trying to calculate what % of times the price touches R1 before the pivot level. I have the data for the last 10 years and know how often it touches the R1 one and pivot point but I don't know ...
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195 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: "...
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132 views

Create Markets Bubble Indicator

I am trying to replicate a Bubble Indicator described here. The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the ...
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81 views

How to value a portfolio of non-mature consumer loans?

I'm looking for the best way to value a portfolio of consumer loans that have NOT reached maturity and for which I do observe the payment/default history to date? I'm working with a large database of ...
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635 views

Autoregressive distributed lag models ADL(p,q) howto in preferably matlab (stata/R/python/C# etc)

Could anyone provide me the details of how to determine the lag order of the distributed lags for an ADL(p,q) model in Matlab or another statistical package (and very much preferably in combination ...
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79 views

Sampling and/or asymptotic distribution of a function

Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...
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14 views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
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27 views

Old codes for Companies (CUSIP/ISIN/SEDOL)

I found that for example ISIN have following rules: Merger and acquisition: Old ISINs for stock become inactive and are replaced by securities with a new ISIN. Bonds only need new ISINs if old ones ...
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24 views

How to calculate R for strategies with dynamic exit points

Calculating R is easy when trading a straight forward strategy which has its entry and exit points clear: ...
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22 views

Markov Switching ARMA-GARCH

I am looking for R function for modelling Markov Switching ARMA-GARCH. I found package MSGARCH but that package can not accommodate mean model. Do you have an idea for my case?
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40 views

Classical Cramer Lundberg model - Ruin Theory Simple Question

I am trying to solve the following problem: 'An insurance company has an initial surplus of 150 and premium loading factor of 15%. Assume that claims arrive according to a compound Poisson process $(...
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1answer
43 views

Fama/Macbeth Regression - negative estimate for market premium

I just conducted a Fama-Macbeth regression to estimate the risk premia of Mkt-Rf, HML and SMB. As a result, I got a negative risk premium for Mkt-Rf which makes no sense in my opinion. As I couldn't ...
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58 views

How to work with vine copula in R?

I have returns of 4 stocks: stock1, stock2, stock3, stock4. And I use R and library(VineCopula) to do: ...
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41 views

Problem in copula fitting

I have returns of 2 stocks: stock1 and stock2. And I want to fit pair copula. I use this libraries library(VineCopula) library(copula) then I select an ...
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48 views

Approximation of portfolio VaR (after mapping) when Delta and Gamma both equal zero

As titled, I am having trouble estimating the VaR of a portfolio mapped as a function of a single risk factor $S$, in the form : $$V(S) = S^3 - 30S^2 + 300S + 150$$ with current value $S = 10$. $S$...
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40 views

Fit a copula model in R

I want to accomplish the task of creating an optimal portfolio of stocks, the yield between which is modeled using kopulas. And I have data: return of 4 stocks: ...
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50 views

Nonlinearity in returns?

Reading academic papers on hedge funds, I find that many authors saying that hedge fund returns are often non-linear and thus many simple quantitative techniques are not suitable. It seems like they ...
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1answer
78 views

How to apply derived beta to daily change?

I've taken three months of price return data for two instruments and calculated a $\beta$ between the two using the formula $\beta = \frac{Cov(x,y}{Var(y)}$ with the goal of estimating what the ...
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38 views

Joint hypothesis tests

When running regressions, $$Y_t=\alpha+\beta_{9}x_{9,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\beta_4x_{4,t-1}+\varepsilon_t (1)$$ $$Y_t=\alpha+\beta_1x_{1,t-1}+\beta_2x_{2,t-1}+\beta_3x_{3,t-1}+\...
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60 views

CAPM Beta zero-correlation performance issue

I am working on a research project that requires me to run a CAPM regression on all intra-day stock quotes in NSDAQ, NYSE and all other U.S. exchanges since 1993. The precision of the quote data is ...