Specifics of statistical factor models and of a particular implementation of them. Previously Posts that are background for this one include: Three things factor models do Factor models of variance in finance The BurStFin R package The quality of variance matrix estimation The problem Someone asked me some questions about the statistical factor model in … Continue reading...
There is a good way and a bad way to add a benchmark to a variance matrix that will be used for optimization and similar operations. Our examination sheds a little light on the process of variance matrix estimation in this realm. Role of benchmarks Investing Benchmarks are common in investment management. It’s my opinion … Continue reading...
A bit of testing of the estimation of the variance matrix for S&P 500 stocks in 2011. Previously There was a plot in “Realized efficient frontiers” showing the realized volatility in 2011 versus a prediction of volatility at the beginning of the year for a set of random portfolios. A reader commented to me privately … Continue reading...
Version 1.01 of BurStFin is now on CRAN. It is written entirely in R, and meant to be compatible with S+. Functionality The package is aimed at quantitative finance, but the variance estimation functions could be of use in other applications as well. Also of general interest is threeDarr which creates a three-dimensional array out … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
