The post has two goals: (1) Explain how to forecast volatility using a simple Heterogeneous Auto-Regressive (HAR) model. (Corsi, 2002) (2) Check if higher moments like Skewness and Kurtosis add forecast value to this model. It will be a high … Continue reading → [Read more...]

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading → [Read more...]

Bootstrap your way into robust inference. Wow, that was fun to write.. Introduction Say you made a simple regression, now you have your . You wish to know if it is significantly different from (say) zero. In general, people look … Continue reading → [Read more...]

When I was searching for data about U.S prison population, for another post, I run across eurostat, a nice source for data to play around with. I pooled some numbers, specifically homicides recorded by the police. A panel data for … Continue reading → [Read more...]

Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?”. Lets see what is the problem, and how can we fix it. I am using Morgan Stanley (MS) symbol for illustration, pre-crisis time … Continue reading → [Read more...]

Open source is amazing! I cannot even start to imagine the amount of work invested in R, in firefox browser (Mozilla), or Rstudio IDE, all of which are used extensively around the globe, free. Not free as in: free sample … Continue reading → [Read more...]

A beta of a stock generally means its relation with the market, how many percent move we should expect from the stock when the market moves one percent. Market, being a somewhat vague notion is approximated here, as usual, using … Continue reading → [Read more...]

[This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) Want to share your [Read more...]

I am talking here about money managers. for those of us who have one. We assume they understand about markets in such a way that they can, and will generate at least the benchmark returns, what ever this benchmark may … Continue reading → [Read more...]

In financial context, is suppose to reflect the relation between a stock and the general market. A broad based index such as the S&P 500 is often taken as proxy for the general market. The , without getting into too … Continue reading → [Read more...]