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Search found 2 matches
- November 8th, 2018, 11:25 am
- Forum: Trading Forum
- Topic: Quantitative Investment Strategies
- Replies: 1
- Views: 6640
Re: Quantitative Investment Strategies
Just google Risk premia strategies.
- November 2nd, 2018, 5:59 pm
- Forum: Trading Forum
- Topic: PCA model for volatility regime shift
- Replies: 1
- Views: 7205
PCA model for volatility regime shift
Hi Team,
I want to build a PCA model 1 month half life 5 days which is extremely reactive when the markets see a jump in the volatility as the VaR is not so prompt to reflect.
can you give me some guidance
best
I want to build a PCA model 1 month half life 5 days which is extremely reactive when the markets see a jump in the volatility as the VaR is not so prompt to reflect.
can you give me some guidance
best