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Masher
  • Member for 7 years, 1 month
  • Last seen more than a month ago
8 votes
1 answer
1k views

Density forecast of a GARCH model

4 votes
1 answer
2k views

Simulating returns from ARMA(1,0)-GARCH(1,1) model

3 votes
1 answer
2k views

Density plot of the skew-t distribution

3 votes
2 answers
2k views

Degrees of freedom in calculating significance of GARCH coefficients

3 votes
0 answers
732 views

Modelling log-returns and calculating the portfolio return

3 votes
1 answer
1k views

Log-likelihood of skew-t distribution

2 votes
2 answers
199 views

Problem with obtaining densities

2 votes
2 answers
930 views

High values of skewness and kurtosis of realized protfolio returns

2 votes
3 answers
3k views

Robust standard errors in GARCH modelling (rugarch)

2 votes
1 answer
268 views

Parametric bootstrap in generating returns and hypothesis testing

2 votes
1 answer
750 views

GJR-GARCH with $\alpha = 0$ as parameter estimate

1 vote
0 answers
347 views

Asset allocation and GARCH models

1 vote
1 answer
909 views

One-step ahead forecast of a AR(1) process (GARCH context)

1 vote
0 answers
2k views

Skewed Generalized Error Distribution's (SGED) pdf

0 votes
1 answer
64 views

Imposing MLE restrictions by logistic mapping

0 votes
1 answer
5k views

Transforming daily simple returns into weekly

0 votes
2 answers
818 views

Fama-MacBeth regression in Python using the linearmodels library