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Questions tagged [time-series]

A temporal sequence of events measured at discrete points in time.

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15 views

Auto-covariance function of station time series

How to show that for any stationary time series its auto-covariance function is symmetric about the origin, that is $\gamma_{k}=\gamma_{-k}$ where, $\gamma_k=cov(z_t,z_{t-k})$
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35 views

Time series modelling of interest rates

I am currently modelling some interest rates using standard time series methods and was wondering whether one usually takes the log differences of interest rates as one does in equity modelling. My ...
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0answers
20 views

What are some examples of benchmarks describing the various types of agricultural commodities?

I would like to analyze the correlation between the historical series of various agricultural commodities but looking at the Bloomberg platform I do not know which codes to refer to in order to carry ...
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0answers
20 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 ...
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19 views

How to create a leverage plot for return series?

I found a text with an explanation of the leverage effect and a corresponding leverage plot. Now, I am wondering how I can do the plot in R for my stock return series. I think copy-pasting the text ...
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1answer
37 views

Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]

I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
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32 views

What are the titles that show the most generic spot prices of commodities?

In other words, if you want to analyze the different commodity sectors, what are the titles that best describe the spot price? For example, from the Bloomberg database, I downloaded the following time ...
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0answers
34 views

Interpreting the ACF graph

I am currently struggling with the interpretation of a price chart and the corresponding ACF graph. The question is, if there is momentum in the price of this asset. This is the corresponding price ...
2
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1answer
59 views

Asset pricing model factor need to be excess return?

In John Cochrane's Asset Pricing book and his video lecture, he states that asset pricing factors need to be excess returns, a traded portfolio. Is there a reason for that? I can't find explanation ...
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23 views

GARCH(1,1) and Value at Risk: Rolling window or non-overlapping samples

Currently studying on financial risk management. I want to test different methods of VaR estimation. I want to model volatility using a GARCH(1,1) model. My question is what should the size of the ...
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0answers
41 views

Market Invariant for Commodity Futures

In the same sense that Meucci describes "compounded returns" as the invariant for equities and "changes in yield-to-maturity" as the invariant for fixed-income, what is the invariant for a commodity ...
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2answers
57 views

Imputation of missing returns

I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
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2answers
57 views

Daily returns to monthly basic question [closed]

I am currently a little bit puzzled. I am trying to compute the monthly returns from a set of data. ...
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1answer
73 views

How long is considered `long-term'?

For a project I am doing I need to simulate the balance sheet of a pension fund. In order to do so I also need to simulate euro inflation. Since my inflation data is non-stationary, I model it using ...
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0answers
48 views

Cointegration between daily time series and intraday time series

I am working with time series data of daily prices, and intraday prices. For simplicity sake I will refer to the daily time series as 'A' and 'B', and the intraday time series of the same instruments ...
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2answers
77 views

How can currency (USD/TRY) be going up without having a candle before that would close under it?

I am having a hard time understanding how can USD/TRY be going up without having a period before that would close at a point under it. This is from today (2018-10-08 6:12 and 6:50). Is it moving up ...
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0answers
70 views

Why does computing correlation between index levels vs. percentage changes yield completely different results?

I am examining the relationship between the S&P 500 and the Industrial Production Index. Computing the correlation between these these variables yield vastly different results if expressed in ...
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0answers
15 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
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0answers
30 views

How to create a sample and hold signal in R

I would like to create a sample and hold signal (a flag) in R from a (financial) time series objekt. Like the sample and hold function in Matlab. The Sample and Hold block acquires the input at the ...
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1answer
111 views

What is the Probability Distribution of Max-Drawdown?

How to obtain the probability distribution of Maximum Drawdown, starting from the probability distribution of Daily Returns? Here the details: Suppose I have a time serie of N=1000 daily returns. ...
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0answers
72 views

Comparison of normalization methods on market returns

I am looking to use a multi-factor model to make target-return predictions. Since the factor-returns come from different scales I need to normalize first. There are different ways to normalize ...
2
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1answer
96 views

A question about stationarity and ergodicity

Given daily returns of a stock index over 50+ years, a homework question asks: Plot the annual sample mean and variances of the returns and their absolute values. Are these estimates in agreement ...
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0answers
25 views

Forecasting time series data using auxiliary information and associated questions

Suppose I want to forecast MSFT time series, using MSFT history as well as SPY history. Are there good time series forecasting methods that permit auxiliary data to be used? Perhaps you should just ...
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0answers
38 views

Overlapping Data

I have a daily time series data spanning over 22 years. I need to compute some meaningful yearly standard deviation statistics / generate probability distribution and estimate tail risk. 22 years ...
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1answer
79 views

Understand the white noise condition in Vector Autoregression

In the following vector autoregression model with lag polynomial representation: $$\Phi (L) y_t= \epsilon_t$$ where $Y$ is the vector of endogenous variables, $\Phi$ is the parameters matrix, $\...
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3answers
79 views

Filling a few missing data in time series?

I'm writing a paper about Uncertainty indices like VIX, etc. I already collected all data but it seems that some of the variables got a few or a little more missing data. I have daily and monthly data ...
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2answers
174 views

Does predictability in a VAR process imply mean reversion or momentum?

There seems to be some disagreement in the literature about this. Define predicability of a stationary series to be $\sigma^2_{t-1} / \sigma^2_t$ Finding mean reverting portfolios using canonical ...
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1answer
47 views

How to calculate RSI while considering market close and holidays?

I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
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1answer
89 views

Which method would you use to compare if a time series of financial returns has more “clusterized volatility” than another?

It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
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1answer
125 views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
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1answer
72 views

What is the optimal approach to “backcasting” alternative asset classes (i.e. PE, Hedge Funds, Real Estate)?

I am interested in coming up with better risk calculations for alternative asset classes. As these are illiquid, not a lot of historical data is available. My idea is to use performance of stocks ...
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0answers
29 views

Finding the distribution and moments of returns with GARCH models (in R if possible)

I understand the GARCH type models and I know how to fit a model to a time series. But, there is a paper which calculates the moments of the distribution of returns (Variance, Skewness, and Kurtosis) ...
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2answers
31 views

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 ...
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1answer
48 views

QQQ fillings history

I'm trying to find Invesco QQQ Trust fillings for 2001-2018 time period, at least top 10 by year, do you know where I should search?
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0answers
36 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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1answer
30 views

Deriving the long-horizon predictive regression and hypothesis testing

I am working on the long-horizon regression, $$y_{t,K}=\mu+\beta_1x_{1,t-1}+...+\beta_nx_{n,t-1}+e_{t} $$, where $$y_{t,K}=y_{t}+y_{t+1}+...+y_{t+K-1}$$ and there can be multiple x's. So I am ...
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0answers
56 views

What is a momentum portfolio? How can I create one?

What is a momentum portfolio? How can I create one? How can I test if momentum in one portfolio drives momentum in another portfolio. Any useful references.
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0answers
97 views

Simulation of a DCC-GARCH

I want to simulate some exchange rates with a DCC GARCH. I know the package rmgarch but I want to code the simulation my self. The following are the main equations ...
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0answers
55 views

Constrained Optimization for performance attribution

I am trying to perform constrained opmitization for portfolio performance attribution analysis. Specifically, I am trying to determine the impact of sectors performance on the S&P 500 index. Min ...
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1answer
46 views

EWMA Volatility vs Volatility of EWMA

Is taking the standard deviation of a EWMA smoothed series equivalent to getting the EWMA volatility for that series?
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62 views

Discretizing a Continuous Time Stochastic Volatility Model

Forgive me for cross-posting. I have the following continuous time SDE for a stochastic volatility model. $S_t$ is the price, and $v_t$ is a variance process. $$ dS_t = \mu S_tdt + \sqrt{v_t}S_t dB_{...
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0answers
42 views

Correlation between a sector and MSCI ACWI returns

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...
3
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1answer
417 views

Absorption ratio by Mark Kritzman

In Principal Components as a measure of systemic risk, the author Mark Kritzman defines absorption ratio (AR) as the fraction of the total variance of a set of asset returns explained or absorbed by a ...
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1answer
86 views

correlation in time series analysis

the goal of my research is to analyze if one variable X follows the movement of another variable Y over time. Meaning that Y is slightly ahead of X. The number of observations in each time series is ...
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0answers
58 views

volatility for multiple time series

I have time series data for a total of 4 stocks and want to analyze the volatility of those. Moreover I want to demonstrate that they have the same volatility. As a response variable I would use log ...
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0answers
31 views

Does it make sense to simulate from the multidimensional GBM?

Suppose I have times series data on 3 assets and I do $N$ simulations (GBM) first for each of assets individually and then from a multidimensional GBM since their log-returns are correlated (I use ...
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2answers
138 views

Lagged Residual as Independent Variable

I am building a factor model to estimate future equity returns. I'd like to include an autoregressive residual term in this model. I'd like to have yesterday's error (the difference between yesterday'...
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0answers
59 views

Monte Carlo Simulation of correlated returns based on different frequencies

I am simulating through Monte Carlo, multivariate correlated returns of different products composing an Oil&Gas portfolio. The historical prices (from which I computed the log-returns) of the ...
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0answers
30 views

Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
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40 views

How to find the maximum clean price during lifetime of a bond

I'm trying to find a solution to following question: If I'm buying a bond and assume an upward sloping yield curve, than this bond will (under certain circumstances) experience price gains during his ...