Blog Archives

Twinkle,twinkle little STAR

May 26, 2014
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Twinkle,twinkle little STAR

At the recent R/Finance 2014 conference in Chicago I gave a talk on Smooth Transition AR models and a new package for estimating them called twinkle. In this blog post I will provide a short outline of the models and an introduction to the package and its features. Financial markets have a strong cyclical component

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Twinkle,twinkle little STAR

May 26, 2014
By
Twinkle,twinkle little STAR

At the recent R/Finance 2014 conference in Chicago I gave a talk on Smooth Transition AR models and a new package for estimating them called twinkle. In this blog post I will provide a short outline of the models and an introduction to the package and its features. Financial markets have a strong cyclical component

Read more »

The realized GARCH model

January 2, 2014
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The realized GARCH model

The last model added to the rugarch package dealt with the modelling of intraday volatility using a multiplicative component GARCH model. The newest addition is the realized GARCH model of Hansen, Huang and Shek (2012) (henceforth HHS2012) which relates the realized volatility measure to the latent volatility using a flexible representation with asymmetric dynamics. This

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The realized GARCH model

January 2, 2014
By
The realized GARCH model

The last model added to the rugarch package dealt with the modelling of intraday volatility using a multiplicative component GARCH model. The newest addition is the realized GARCH model of Hansen, Huang and Shek (2012) (henceforth HHS2012) which relates the realized volatility measure to the latent volatility using a flexible representation with asymmetric dynamics. This

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A Review of Risk Parity

December 17, 2013
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A Review of Risk Parity

What is risk parity (RP)? Simply put, it is a method of allocating equal risk shares to each asset in the portfolio. In more traditional allocation schemes, equity, being the riskiest asset (and hence providing the highest reward), has typically received the lion’s share. With RP, equalization of risk contribution means that equity and other

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A Review of Risk Parity

December 17, 2013
By
A Review of Risk Parity

What is risk parity (RP)? Simply put, it is a method of allocating equal risk shares to each asset in the portfolio. In more traditional allocation schemes, equity, being the riskiest asset (and hence providing the highest reward), has typically received the lion’s share. With RP, equalization of risk contribution means that equity and other

Read more »

A note on the co-moments in the IFACD model

December 11, 2013
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The Independent Factor Autoregressive Conditional Density (IFACD) model of Ghalanos, Rossi and Urga (2014) uniquely, in its class of parametric models, generates time varying higher co-moment forecasts, as a consequence of the ACD specification of the conditional density of the standardized innovations. In this short note I discuss in more detail the properties of the

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A note on the co-moments in the IFACD model

December 11, 2013
By

The Independent Factor Autoregressive Conditional Density (IFACD) model of Ghalanos, Rossi and Urga (2014) uniquely, in its class of parametric models, generates time varying higher co-moment forecasts, as a consequence of the ACD specification of the conditional density of the standardized innovations. In this short note I discuss in more detail the properties of the

Read more »

Direction of Change Forecasting III: One Signal, Many Markets

September 26, 2013
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Direction of Change Forecasting III: One Signal, Many Markets

In the global economic landscape, national borders have become increasingly blurred. Local economies depend on competitively priced global inputs and on well functioning and prosperous global markets for their exports. This interdependency also means that as a system, a crisis in one area quickly spreads to others areas like a ripple spreading outwards. And sometimes

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Direction of Change Forecasting II: The case of the UK

September 25, 2013
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Direction of Change Forecasting II: The case of the UK

In the previous blog article I discussed a dynamic binary model for the directional forecast of the US equity market using a select number of economic, fundamental and technical variables as predictors. A natural direction for extending that research would be to look at similar models in different countries or for other asset classes. In

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