1721 search results for "time series"

Utility Spread and Financial Turbulence

May 23, 2011
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Utility Spread and Financial Turbulence

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. In Long XLU Short SPY Part 2 (More History), I explored the defensive nature of the spread and its potential as a bond substitute in troublesome periods for stocks...

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Long XLU Short SPY Part 2 (More History)

May 20, 2011
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Long XLU Short SPY Part 2 (More History)

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. The Fed is on a roll adding BAC ML Bond Indicies and now complete history for the four primary Dow Jones Indexes, so I wanted to extend my first post Long XLU Shor...

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Long XLU Short SPY

May 20, 2011
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Long XLU Short SPY

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash.  I generally dislike spreads...

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Spreads and Stress

May 20, 2011
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Spreads and Stress

Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds.  Bond spreads act as a very strong symbol of financial stability and confidence.  The St. Louis Fed Stress Index is ...

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Porting Stata-like Marginal Effects to LaTeX

May 19, 2011
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Porting Stata-like Marginal Effects to LaTeX

The TimeSeriesIreland Blog posted an excellent start on a function that automatically computes marginal effects for probit and logit models. As I have always wanted an easy-to-use function that computes and reports marginal effects in R, I was elated ...

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Porting Stata-like Marginal Effects to LaTeX

May 19, 2011
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Porting Stata-like Marginal Effects to LaTeX

The TimeSeriesIreland Blog posted an excellent start on a function that automatically computes marginal effects for probit and logit models. As I have always wanted an easy-to-use function that computes and reports marginal effects in R, I was elated ...

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Stata-like Marginal Effects for Logit and Probit Models in R [2]

May 18, 2011
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Stata-like Marginal Effects for Logit and Probit Models in R [2]

My thanks to those who emailed comments and suggestions for my ‘mfx’ function, I’m happy that I could fill a void for some people. I also received a request/suggestion from Tony Cookson, along with a helpful fix for a bug in the code, to include an option that would allow the user to specify values

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Russell Napier, ASIP in FT Says Emerging Market Currencies

May 17, 2011
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Russell Napier, ASIP in FT Says Emerging Market Currencies

Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...

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AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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AIB Stock Price, EGARCH-M, and rgarch

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

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Omega as Optimizer

May 16, 2011
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Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

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