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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 ...
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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 ...
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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 ...
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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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