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Jase's user avatar
Jase
  • Member for 11 years, 8 months
  • Last seen more than 2 years ago
18 votes
1 answer
2k views

So many volatility models. Any comparisons of them?

6 votes
3 answers
2k views

Is there a copula that can estimate negative tail dependence?

13 votes
1 answer
966 views

Alternative ways to understand time-varying comovement between two time-series?

4 votes
2 answers
493 views

Why use market capitalization weighted index over PCA?

5 votes
4 answers
1k views

Regressor: Nominal return, continuous return or first difference?

2 votes
2 answers
2k views

Should I use GARCH volatility or standard deviation in cross-sectional regression?

7 votes
2 answers
715 views

Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?

3 votes
2 answers
408 views

Pricing forward contract on a stock

3 votes
0 answers
543 views

Pricing a Power Contract derivative security

3 votes
0 answers
253 views

Measure change in a bond option problem

4 votes
2 answers
1k views

Cointegration trading: Ignoring pairs that aren't economically related

1 vote
1 answer
1k views

Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?

3 votes
0 answers
122 views

Individual/casual investors and the bias towards blue-chip stocks?

9 votes
2 answers
1k views

Why do low standard deviation stocks tend to have superior future returns?

8 votes
1 answer
5k views

Conditional or unconditional volatility?