Articles by cleschinski

Something is wrong with realized volatility

March 2, 2020 | cleschinski

If you own stocks of a company, how big is the risk to lose at least 5 percent of your money tomorrow? To answer that question, you need to know the variance of that stock. The problem with stock market variances is that they change a lot over time. They are ... [Read more...]

Introducing the MonteCarlo Package

June 8, 2017 | cleschinski

My first R package has been released on CRAN recently. It is named MonteCarlo and aims to make simulation studies as easy as possible – including parallelization and the generation of tables. What Are Simulation Studies Good For? Monte Carlo simulations are an essential tool in statistics and related disciplines. They ... [Read more...]

The Curious Behavior of diffseries()

April 23, 2017 | cleschinski

This is the story of a subtle error that, to my opinion, is a nice example of the special challenges of statistical programming. One of my main research interests is time series with long memory. These are often modeled by fractionally integrated models, where Here is the time series, is ...
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