Questions tagged [estimation]
The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.
152 questions
0 votes
0 answers
74 views
Ledoit - Wolf Shrinkage: reproducing the paper results
I've been trying to replicate the results of the paper A Well-Conditioned Estimator For Large-Dimensional Covariance Matrices by Ledoit and Wolf (2004). In particular, I'm having difficulties with the ...
0 votes
0 answers
40 views
Category 1 priips (less than monthly pricing)
has anyone came across a priip of category 1 with less than monthly frequency? To model such products the regulation only says we should use a conservative estimate
- 1
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150 views
Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
Question: Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series I’m working with a model of buy and sell order flows that are described as ...
- 11
0 votes
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170 views
Residual Function
In a time series with OLS regression curve Y-hat (rolling linear regression), and with n=20, what can I say about this transformation? This formula is similar to a differential dY/dt minus an integral ...
- 21
4 votes
1 answer
399 views
To estimate the parameters when only the characteristic function is known to us
Recently I was working with a process named Variance Gamma with Stochastic Arrival (VGSA) and trying to fit this process on a given data. To obtain VGSA, as explained in Carr et al. [2001], we take ...
- 107
2 votes
1 answer
271 views
In which context do hedge funds use the Gauss Markov Theorem?
Hedge Funds really like asking questions about linear regression during interviews. Especially about the properties of the OLS. But I don't understand in which context this is used. For example the ...
3 votes
1 answer
116 views
What quantities (means, betas) must be constant over time for the GRS test to be valid?
I am interested in testing the CAPM using the GRS test. Consider $N$ assets observed for $T$ time periods. Using the notation of Cochrane "Asset Pricing" (2005), the GRS test amounts to ...
- 3,486
1 vote
0 answers
129 views
Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful. I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
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1 vote
1 answer
208 views
Stochastic volatility estimation in R
Can anyone help me with the stochvol package in R? I estimated the volatilities using this package but I am not being able to understand how to download the ...
- 11
1 vote
1 answer
545 views
R resources for GMM estimation and testing of multifactor asset pricing models
Has anyone seen R script for GMM estimation and testing of asset pricing models such as Fama-French 3-factor or similar? Ideally, I would like to have R scripts corresponding to Cochrane "Asset ...
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0 votes
1 answer
198 views
Estimate Open, High and Low prices from bid, ask and close prices
I know it's possible to efficiently estimate bid/ask spreads from OHLC prices and there are several methods to do so. However I have a data source that contains only bids, asks and close prices, no ...
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1 vote
0 answers
228 views
Estimation of the Vech HAR model (Multivariate HAR)
I am trying to use the Vech-HAR (the mulitvariate HAR) model in order to forecast some covariances. I have been looking into the model proposed by Chiriac Modelling and forecasting multivariate ...
- 11
1 vote
1 answer
116 views
Incorporating idiosyncratic risk as a pricing factor with GMM
Suppose we are given a dataset with $T$ time periods and $N$ assets or portfolios. We are interested in estimating and testing an augmented CAPM or a multifactor model with an additional factor: the ...
- 3,486
1 vote
1 answer
979 views
Definition and estimation of $\beta$: raw or excess returns?
The CAPM is a single-period model that says $$ \mathbb{E}(R^*_i)=\beta\mathbb{E}(R^*_m) $$ where $R^*_i:=R_i-r_f$ is an asset's excess return, $R^*_i:=R_m-r_f$ is the market's excess return and $\beta:...
- 3,486
2 votes
1 answer
177 views
Testing the CAPM: does GRS account for errors in variables (measurement error)?
Suppose we are interested in testing the CAPM using the GRS test. Consider $N$ assets observed for $T$ time periods. Using the notation of Cochrane "Asset Pricing" (2005), the GRS test ...
- 3,486