How much does garch shorten long tails? Previously Pertinent blog posts include: "A practical introduction to garch modeling" "The distribution of financial returns made simple" "Predictability of kurtosis and [...]

I unfortunately was not there, but we can vicariously enjoy it via the presentations that are posted on the conference website. Below is my take on the highlights (in [...]

How are returns calculated when net asset value goes negative? Previously In "A tale of two returns" we highlighted the similarities and differences of log returns versus simple returns. [...]