<t>Hello,I have a question concerning the GMM equation specification. Say we partition each trading day in 7 intraday intervals. We want to estimate the 7 intraday interval moments for a variable Y observed in those 7 intervals over a period of T days meaning we have t = T*7 total observations for Y...

<t>what i do now is calculate average 5 min returns for each interval -> i therefore scale down returns and make them comparable even if the initial intervals are of different length. makes sense to me and to previous academic literature. some references for people looking for similar stuff:"Scaling...

<t>hello,how would you adjust a 30 min return, calculated from the first 30 minutes of trading day, to a 1 hour return when you know that returns are not normally distributed with time (as it is higher in the first, say, 10 minutes due to obviously larger information inflow and levels off afterwards...

<t>... You have to distinguish the yield you earn from buying the bond today and going short the future, which should be compared to a short-term yield, and the yield you will earn by going long the future, buying the bond at delivery, and holding it to maturity 10 years from that time, which should...

sorry for triple quote

edited by author

<t>Hi,I have browsed the net for a while but couldnt succed in finding an exact definition on how the price of the Eurobund Future is calculated. Am I correct assuming it to be equal to the discounted price for the neares (Mar 2005) 10 year 6% coupon "riskfree" bond to be issued by german government...

<r>GIPS uses time and volume weighted returns of a combination of representative portfolios.i found this article helpful <URL url="http://www.rsmi.co.uk/rrweb/freeloader.nsf/live+freeloader+items+download/Implementing-Investment-Performance-Standards/$file/Implementing+Investment+Performance+Standar...

<r>i agree with what luebke said. it will mainly depend on what kind of data you are looking at. one has to be very careful before removing data points. 2 more examples:if you work for a hedge fund and trade on patterns you want that outlayers to be included in the data (see nassim taleb and black s...

6 % * sqrt(12)

<t>could you be more specific on the series that you assume to be colinear? stationarity of timeseries does not say anything about colinearity. you may have two stationary time series that are correlated to a high degree, so as james mentioned check the explainatory variables in your model for corre...

<t>The following statement I read in an internal document concerning CDOs 'If no default occurs by 31 March 2005, required level of subordination to maintain AAA falls to 4.38%'. Of course the writer of the document could, and possibly is wrong.--> i would assume he or she is correct. Assume Maturit...

<t>the future, = forward, interest rate for any time period from t to t+1 is given by the following formula:r(t,t+1) = ( (1+r(0,t+1))^(t+1))/((1+r(0,t))^(t)) - 1you can imagine as follows:We want to know and lock in the "future" interest rate from time t to t+1 by just using spot rates. At t =0 we b...