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Qbik
  • Member for 12 years
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14 votes
2 answers
560 views

Is a linear combination of GARCH processes also a GARCH process?

12 votes
3 answers
792 views

What is a commonly accepted econometric model for volume?

8 votes
1 answer
746 views

How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?

8 votes
1 answer
3k views

Problems with dealing with GARCH models and intra-day data

7 votes
1 answer
427 views

Filtering out AR(1) effects before using stochastic volatility model

6 votes
0 answers
138 views

What kind of errors arise when I fit ARMA(1,1) to data generated from ARMA(1,1)-GARCH(1,1) process?

4 votes
5 answers
5k views

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?

4 votes
3 answers
263 views

Why in general is the variance of volume changes higher than variance of price changes?

4 votes
1 answer
297 views

Does the correlation amongst stocks rise when stock values decline?

2 votes
4 answers
247 views

Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?

2 votes
2 answers
236 views

Are there any papers about cointegration consisting of time series of more than two assets?

1 vote
0 answers
69 views

CFD broker spread as indicator for stock market

1 vote
3 answers
259 views

Are power contracts traded on any stock market?

1 vote
1 answer
2k views

Liquidity detection based strategy in HFT

1 vote
0 answers
55 views

R GARCH simulation providing whole components (y, cond.vol. etc.)

1 vote
0 answers
380 views

Cointegration and pairs trading

0 votes
2 answers
216 views

Model which fully incorporate OHLC data (higl ald low also)

0 votes
0 answers
37 views

Spot an activity of stock tickers

0 votes
3 answers
704 views

Why C is still in use especially in area of numerical optimization (instead of C++)? [closed]

0 votes
1 answer
420 views

Should we include constant in linear regression in pairs trading?

-1 votes
1 answer
563 views

Pearson correlation coefficient based on OHLC data