yinya at hot.eethank you!

<t>QuoteOriginally posted by: SPAAGGIt depends on the market, the asset class, whether you backtest or you forcast, which is your mesure to determine the quality of your fit.... --> not able to answer...sorry, equity market indices for developed markets (US, Europe, Japan) and developing markets, es...

<t>would using the following GARCH type specification for the conditional mean make any sense (assuming p=1 & q=1):r(t)=alpha0+alpha1*(R(t-1)-r(t-1))+alpha2*sigma(t-1)for daily index time series for getting the normalising parameters in ((xi-r(t)/sigma)? or would a simple rolling mean be better,...

<t>Apparently the scenario simulation approach is not a remedy Jamshidian & Zhu claimed it to be... so not much research on it. I only found the following article: "Abken, P. A. (2000, Summer). An Empirical Evaluation of Value at Risk by Scenario Simulation. Journal of Derivatives, vol.7, issue ...

<t>longstaff & schwarz have the following very good article: Longstaff, F. A. & Schwartz, E. S. (2001), “Valuing american options by simulation: A simple least squares approach”, Review of Financial Studies Vol.14, No. 1 (Spring 2001), 113-147done some (school)work on it, and at least at fir...

this shouldn't really be in this forum, but i assume that PCA stands for principal component analysis, what are CHTR, ABS, OBS (all kr) and if a CDS is the credit default swap, what instrument is the DDS?

Thank you very much! Once i get this coded, i might come back with a similar question about regime switching or mixtures of normals, but I'll be doing some more thorough Hamilton reading first.kristjan

<t>hello,Since I'm short of quant skills myself, what would be the appropriate (log) likelihood function of the gram-charlier expansion of a normal standardised variable? i.e. of b(x)*[1+(1/6)*skew*(x^3-3x)+(1/24)*(kurtosis-3)*(x^4-6x^2+3)], where b(x) is standardised binomial density?This would be ...

thanks!will go that route.k.

<t>any good references on log-likelihood estimation (even better if includes code building hints)? other than Aaron's post on another thread:QuoteOriginally posted by: AaronMaximum likelihood is a simple technique for fitting parameters. It has many bad properties, but it does give analytic solution...