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Richard Hardy

Associate professor in business analytics.

PhD in economics/finance, MSc in statistics.

Work experience in finance.

Interests: financial econometrics, forecasting, volatility modelling, risk management, model selection and other.

I use R.

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  • Member for 4 years, 8 months
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12 Why is GARCH(1,1) so popular, especially in academia? Aug 14 '16
6 Asset pricing textbooks Jun 8
5 Is a linear combination of GARCH processes also a GARCH process? Sep 7 '16
5 How do I evaluate the suitability of a GARCH model? Nov 27 '16
4 Portfolio optimization w.r.t. value at risk: introductory or survey references Sep 25 '19
4 What are the significant implications of the long-run average variance rate and why Engle won the Nobel Prize for ARCH model development? Jun 20 '17
3 Are GARCH models dependent on the returns forecasting model? Nov 14 '16
3 How can I compare 30 day implied volatility forecasts with GARCH forecasts? May 31 '17
3 Do EWMA weights remove autocorrelation in asset returns? Sep 2
3 Analytical portfolio optimization for VaR under multivariate normality Dec 11 '19
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