A prediction of a portfolio’s volatility is an estimate — how variable is that estimate? Data The universe is 453 large cap US stocks. The variance matrices are estimated with the daily returns in 2012. Variance estimation was done with Ledoit-Wolf shrinkage (shrinking towards equal correlation). Two sets of random portfolios were created. In both … Continue reading...
Next Friday, I will give in Montréal a crash course entitled Econometric Modeling in Finance and Insurance with the R Language. Since IFM2 wanted this course to be an opportunity to discover R, the first part o fthe course will be on the R language. Slides can be downloaded from here. (since the course is still scheduled, all comments...
the survey of consumer finances (scf) tracks the wealth of american families. every three years, more than five thousand households answer a battery of questions about income, net worth, credit card debt, pensions, mortgages, even the lease on th...
How to fit and use the components model. Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series Variance targeting in garch estimation The model The components model (created by Engle and Lee) generally works better than the more common garch(1,1) model. Some hints about … Continue reading...
Here is a spot of code to create a series of small multiples for comparing return distributions. You may have spotted this in a presentation I posted about earlier, but I’ve been using it here and there and am finally satisfied that it is a generally useful view, so I functionalized it. When visually comparing 
Anyone who collects academic texts knows that the hobby can be a bit expensive. Well, today I happened to notice that there is an incredible deal on Amazon's Gold Box Deal for today for many kindle academic books. And they are not just unpo...
I want to follow up and provide a bit more details to the excellent “A Visual of Current Major Market Clusters” post by David Varadi. Let’s first load historical for the 10 major asset classes: Gold ( GLD ) US Dollar ( UUP ) S&P500 ( SPY ) Nasdaq100 ( QQQ ) Small Cap ( 
As mentioned in the Appendix of Modern Actuarial Risk Theory, “R (and S) is the ‘lingua franca’ of data analysis and statistical computing, used in academia, climate research, computer science, bioinformatics, pharmaceutical industry, customer analytics, data mining, finance and by some insurers. Apart from being stable, fast, always up-to-date and very versatile, the chief advantage of R is that...
The go-to bible for this data scientist and many others is The Elements of Statistical Learning: Data Mining, Inference, and Prediction by Trevor Hastie, Robert Tibshirani, and Jerome Friedman. Each of the authors is an expert in machine learning / prediction, and in some cases invented the techniques we turn to today to make sense of big data: ensemble...
Much has been said about the dire shortage of Data Scientists looming on the horizon. With the spectre of Big …
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
