New answers tagged time-series
0
votes
How random are financial data series?
I stumpled upon a blog post where someone did this work and reported about it here: http://www.turingfinance.com/hacking-the-random-walk-hypothesis/
Some quotes:
The scores for the data sets lie ...
0
votes
How to implement rolling granger causality
I believe this may be of help:
https://www.statsmodels.org/dev/generated/statsmodels.tsa.stattools.grangercausalitytests.html
This allows you to run a granger causality of two variables. As for ...
2
votes
Accepted
Regression taking in account size of earnings surprises
Ok so this is bit of a half-answer but perhaps you can find some use in it. I've done some work on earnings surprises so I'll recap common ways to define it.
The first way to look at earnings ...
7
votes
Accepted
Daily realized volatility and true daily volatility
To keep it brief: the realized variance estimator, $RV_t$, is only a consistent estimator of Quadratic Variation (QV) under absence of microstructure noise.
Following the paper of Barndorff‐Nielsen, O....
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