Malick's user avatar
Malick's user avatar
Malick's user avatar
Malick
  • Member for 10 years, 3 months
  • Last seen more than 1 year ago
  • France
15 votes

How to calculate the conditional variance of a time series?

14 votes

How to simulate stock prices with a Geometric Brownian Motion?

7 votes
Accepted

Why is volatility said to be persistent?

6 votes
Accepted

RiskMetrics VaR Volatility Sample Size

6 votes

What is a regime switch?

6 votes
Accepted

Why banks borrow from each other

6 votes
Accepted

Fractionally Integrated GARCH

6 votes
Accepted

List of Intraday stock prices API

5 votes
Accepted

How to account for intraday seasonality in GARCH model?

5 votes

Scale prices in multiple stocks for comparison

5 votes
Accepted

How to obtain Standardized Residuals from a Time-Series?

5 votes
Accepted

Overestimating or underestimating risk?

4 votes
Accepted

Liquidity Traders

4 votes
Accepted

Density forecast of a GARCH model

4 votes

Computing Pooled IRR from the IRRs of parts

4 votes
Accepted

Mark Joshi, C++ Design Patterns and Derivatives Pricing : Bridge Pattern vs More Simple Inheritance

3 votes

Criticise GARCH relative to Realized Volatility

3 votes

Does GARCH derived variance explain the autocorrelation in a time series?

3 votes

A good book on option pricing from theoretical and practical aspect

3 votes

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

3 votes

Value-at-Risk formula when using skewed-t distribution

3 votes
Accepted

Streaming update of the GARCH(1,1) model

3 votes
Accepted

Problem with obtaining densities

2 votes

ARMA-GARCH model, bset model selection and confidence levels calculations

2 votes

Recommendations for books to understand the math in quantitative finance papers?

2 votes
Accepted

MSRV estimation in R

2 votes

VaR : Student-t GARCH

2 votes

Fractional Brownian motion - probability density function of the increments

2 votes
Accepted

Using the binomial-tree approach to price an option in quantlib - with time expressed as a fraction of year

2 votes
Accepted

distribution of AR, MA coefficients estimation in ARMA-GARCH models