Igor Pozdeev

Member for 7 years
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asset-pricing

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The positivity of the market price of risk

Jul 30, 2018

Asset pricing model factor need to be excess return?

Nov 9, 2018

When modelling ARCH/GARCH effects, do we use excess returns?

Dec 3, 2018

how are financial data with sparse and asynchronous features imputed in predictive modeling?

May 29, 2018

Have any new stylized facts of asset returns been discovered since 2001?

Apr 2, 2018

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What are the known flaws and limitations of OptionMetrics data?

Sep 17, 2018

Hedging with variance swaps: how to calculate the notional

Apr 28, 2018

Expected currency depreciation given sovereign default

Aug 28, 2019

decomposition of yields into global and local components

Apr 7, 2021

Which dates are optimal for monthly rebalancing of a futures portfolio?

Jul 31, 2019

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