Quantitative Finance
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Richard Hardy
  • Member for 6 years, 4 months
  • Last seen this week
  • Europe
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About

Ph.D., associate professor with work experience in finance.

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

I use R.

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56
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Top posts
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All Questions Answers
Score Newest
answer
13
Why is GARCH(1,1) so popular, especially in academia?
Aug 14, 2016
question
8
Asset pricing textbooks
Jun 8, 2020
answer
5
Is a linear combination of GARCH processes also a GARCH process?
Sep 7, 2016
answer
5
How do I evaluate the suitability of a GARCH model?
Nov 27, 2016
answer
5
What is the difference between conditional volatility and realized volatility?
Dec 13, 2016
question
4
Portfolio optimization w.r.t. value at risk: introductory or survey references
Sep 25, 2019
question
4
Analytical portfolio optimization for VaR under multivariate normality
Dec 11, 2019
answer
4
Calculate weekly returns from daily stock prices?
Mar 9, 2016
answer
4
How can I compare 30 day implied volatility forecasts with GARCH forecasts?
May 31, 2017
answer
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, 2017
Top Meta posts
3
1
4
Current tag synonym candidates
3
Migrating threads to Cross Validated
3
Should statistics-heavy questions be directed to Cross Validated?
Top network posts
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40
Testing for autocorrelation: Ljung-Box versus Breusch-Godfrey
39
Is 50% 100% higher than 25% or is it 25% higher than 25%?
36
Is an overfitted model necessarily useless?
31
Can overfitting and underfitting occur simultaneously?
30
Interpretation of mean absolute scaled error (MASE)

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