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1answer
67 views

Calculating variance of process with time-varying variance

This is a question stemming off a previous post I had regarding calculating portfolio volatility. For a portfolio consisting of multiple assets, I understand that there are multiple ways to calculate ...
2
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0answers
27 views

Decomposition of interest rate risk premia

I have a question on econometric modelling techniques for decomposition. I have three variables: - V1 which is an indicator of an interest rate risk premia - V2 which is an indicator of a credit risk ...
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0answers
191 views

Multivariate regression analysis with 7 variables

I have 7 variables: 1 dependent and 6 independent variable 3 of these independent variables affect 3 of the other independent variables (currency, interest rates, and revenues in respective ...
0
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0answers
313 views

Vector Autoregression for modelling log-returns?

I am wondering if Vector Autoregression (and other autoregressive models) is a sound modelling for the daily (not high-frequency!) log-returns of time series from liquid financial markets. One can ...
2
votes
1answer
918 views

Easy explanation of how to fit a multivariate GARCH model (in Gretl)

I have multiple financial time series data (FX-rates, commodity prices) that have been recorded daily (without weekends) for the past six years and want to analyze their effect/influence on the stock ...
1
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0answers
181 views

Multivariate normal - conditioning on absolute values

I’m reading a paper and really struggling with one appendix. Basically they derive conditional expectation of a multivariate normal, conditioning on absolute values. Let $$\boldsymbol y = \begin{...
4
votes
0answers
808 views

Efficient Portfolio Optimization Through Simulation

Apologies in advance for the (possibly?) poor terminology as I'm a bit of a novice in the field. I was torn whether to ask this on stackoverflow or here, so hope its the right place. Anyway, my ...
0
votes
1answer
159 views

Any advice on technical analysis of financial data?

we're looking for any software/framework that is able to analyse the financial flux? Some preliminaries. We've been asked by one of our customer to find or develop the software that would solve some ...