New answers tagged

3

In its simplest terms, imagine you were just using the yield curve as your single predictor of recessions. Suppose (horribly simplistically) that curve inversions tend to signal downturns in 12-18 months time. The curve 12-18 months ago is thus a relevant variable for whether the economy is going into recession or not today. It might also be the case that ...


1

I know this is an old question, but I wanted to add that the NPM library technialinidicators, while advertised for crypto markets, has open code for many popular and some obscure technical indicators. I've hand written a few indicators from scratch, too, after finding performance issues in that library. But it's a useful reference.


0

It is an old thread. Just pointing out that capability is available in ARCH package now for the benefit of future readers. https://pypi.org/project/arch/ Volatility models ARCH GARCH TARCH EGARCH EWMA/RiskMetrics


0

If I am understanding your question correctly, maybe you can simulate two correlated GBM's and then apply the lag manually afterward.


Top 50 recent answers are included