October 15, 2012
The authors are Andrie de Vries and Joris Meys. Executive summary Pretty much all I'd hoped for -- and I had high hopes. Significance The "Dummies" series is popular [...]
October 15, 2012
Here are detailed comments on the book. Elsewhere there is a review of the book. How to read R For Dummies In order to learn R you need to [...]
October 10, 2012
Which sectors are coherent, and which aren't? Previously The post "S&P 500 correlations up to date" looked at rolling mean correlations among stocks. In particular it looked at rolling [...]
October 9, 2012
Featured I'll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: "Addressing the critical challenges and issues raised by the Basel [...]
October 8, 2012
I haven't heard much about correlation lately. I was curious about what it's been doing. Data The dataset is daily log returns on 464 large cap US stocks from [...]
October 1, 2012
There is a good way and a bad way to add a benchmark to a variance matrix that will be used for optimization and similar operations. Our examination sheds [...]
September 25, 2012
Featured I'll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: "Addressing the critical challenges and issues raised by the Basel [...]
September 24, 2012
What is variance targeting in garch estimation? And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on [...]
September 20, 2012
The variability of garch estimates when the series has 100,000 returns. Experiment The post "Variability of garch estimates" showed estimates of 1000 series that were each 2000 observations long. [...]
September 17, 2012
Not exactly pin-point accuracy. Previously Two related posts are: A practical introduction to garch modeling garch and long tails Experiment 1000 simulated return series were generated. The garch(1,1) parameters [...]