Quantitative Finance
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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 5 years, 3 months
  • 576 profile views
  • Last seen Jun 8 at 10:52

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13 Why is GARCH(1,1) so popular, especially in academia? Aug 14 '16
6 Asset pricing textbooks Jun 8 '20
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 How can I compare 30 day implied volatility forecasts with GARCH forecasts? May 31 '17
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
4 Portfolio optimization w.r.t. value at risk: introductory or survey references Sep 25 '19
4 Analytical portfolio optimization for VaR under multivariate normality Dec 11 '19
4 Calculate weekly returns from daily stock prices? Mar 9 '16
3 Minimizing variance vs. expected shortfall: distributions where the difference is salient Aug 19 '20
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