User joesyc

joesyc

Member for 6 years, 11 months
Last seen more than 6 years ago

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11 Questions

Score Activity Newest Views

7 votes

1 answer

3k views

Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

asked Aug 5, 2015 at 18:08

5 votes

1 answer

1k views

Measuring momentum as AR(1) process

time-series auto-correlation time momentum

asked Aug 14, 2015 at 16:45

4 votes

2 answers

16k views

Realized Volatility vs. Standard deviation of log returns

volatility implied-volatility high-frequency high-frequency-estimators

asked Aug 14, 2015 at 15:15

3 votes

2 answers

4k views

How to interpret Realized Volatility and TSRV using R

volatility implied-volatility high-frequency local-volatility high-frequency-estimators

asked Jul 15, 2015 at 23:07

3 votes

1 answer

271 views

Derivation using Ito's Lemma of price process

stochastic-processes stochastic-calculus itos-lemma

asked Aug 1, 2015 at 17:59

3 votes

2 answers

540 views

What do you do with low r-squared when calculating high-frequency beta

r correlation beta capm

asked Sep 21, 2015 at 16:00

2 votes

2 answers

301 views

impact model what volatility to use

volatility high-frequency high-frequency-estimators market-impact

asked Oct 22, 2015 at 16:59

1 vote

1 answer

79 views

Does it make sense to interpret autocorrelation and box test on 5 data points?

time-series mean-reversion

asked Jul 15, 2015 at 22:44

1 vote

1 answer

58 views

What is wrong in my non-linear estimation sample code?

programming statistics regression normal-inverse-gaussian

asked Oct 19, 2015 at 23:34

1 vote

1 answer

2k views

Interpreting and scaling of Realized Variance with sample data

volatility stochastic-processes implied-volatility high-frequency high-frequency-estimators

asked Aug 3, 2015 at 23:41

0 votes

1 answer

3k views

When measuring autocorrelation should you use log returns or prices?

correlation auto-correlation log-returns

asked Aug 17, 2015 at 23:37

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11 Questions

Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

Measuring momentum as AR(1) process

Realized Volatility vs. Standard deviation of log returns

How to interpret Realized Volatility and TSRV using R

Derivation using Ito's Lemma of price process

What do you do with low r-squared when calculating high-frequency beta

impact model what volatility to use

Does it make sense to interpret autocorrelation and box test on 5 data points?

What is wrong in my non-linear estimation sample code?

Interpreting and scaling of Realized Variance with sample data

When measuring autocorrelation should you use log returns or prices?