Quantitative Finance
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Kondo
  • Member for 7 years, 5 months
  • Last seen more than 6 years ago
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17 Questions

Score Activity Newest Views
9 votes
1 answer
1k views

Why is the GARCH intercept supposed to be strictly positive?

3 votes
0 answers
1k views

'GARCH - extreme value theory - copula' approach to estimate risk measures in R

3 votes
1 answer
989 views

Forecasting conditional returns in DCC-GARCH-copula approach in R

3 votes
2 answers
2k views

Does the unconditional variance implied by a GARCH equal the sample variance?

2 votes
0 answers
142 views

Estimating time-varying tail dependence for Archimedean copulas

2 votes
1 answer
920 views

(Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

2 votes
0 answers
70 views

False warning messages in R, is it possible?

2 votes
0 answers
329 views

Problems in computing VaR with GARCH-GPD-copula approach

2 votes
1 answer
131 views

Can I split my backtesting into multiple consecutive sub-periods?

2 votes
1 answer
90 views

Decreasing dependence during the financial crisis?

1 vote
2 answers
159 views

References for biased forecasts from EGARCH

1 vote
0 answers
299 views

Relationship between in-sample and out-sample periods length

1 vote
0 answers
677 views

How to choose a GARCH model which delivers iid standardized residuals?

1 vote
0 answers
292 views

How to write time-varying functions in R? Applied example

0 votes
1 answer
261 views

Is there a specific meaning to the word "convoluted" in maths or mathematical finance?

0 votes
1 answer
2k views

How to estimate an Engle's asymmetric DCC model in R?

-1 votes
1 answer
1k views

How to fit a skew normal/t copula to data?

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