Quantitative Finance
Richard Hardy
  • Member for 5 years, 11 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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All Questions Answers
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13
Why is GARCH(1,1) so popular, especially in academia?
Aug 14 '16
7
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
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
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
3
Are GARCH models dependent on the returns forecasting model?
Nov 14 '16
Top Meta posts
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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%?
35
Is an overfitted model necessarily useless?
30
Interpretation of mean absolute scaled error (MASE)
29
Can overfitting and underfitting occur simultaneously?

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