Hi ASchmidt, your example really helped me. However can you show some example on a "non-self-financing portfolio?"Thanks,

Quoteit will be required a proper optimizerI think for VAR or VECM there is no need for any optimizer to estimate parameters using ML approach. Some simple matrix algebra says that, exact solution is available for that particular problem.

If you know how to estimate VAR parameters by LS, GLS, or MLE (all have same assymptotic properties) then I think it is very straightforward to implement in any language. Perhaps Hamilton would give some suggestions on those estimation procedures.Regards,

One more clarification. Then how to interpret the quoted price of T-Bond futures? Suppose it is quoted as 120'110. Then "0'X = X/800. In futures, for X=0,2,4,6" rule does not work. Then what would be the dollar quote of 120'110? Thanks

<t>Thanks for the reply. However can you be more clear about the equation "0'6 = 0.0075"? Then what will be the equivalent of "0.2" (or other numbers)? An obvious question will be then why CME reports quote in that way instead of putting direct numbers? I searched CME website but could not locate an...

<t>Ok ok I understand the drop-off point is some train-yard. However my question was not that. I asked if I want to analyze the spot-future relationship for CME soya-future, what benchmark spot market in USA should I take? And in "906'6 = 9.0675 $/bu" where the numbers "75" comes from? Is it actuall...

<t>Hi all, Can anyone please explain me what is the underlying spot market for Soybean futures/options traded at CME? Actually I am trying to understand the arbitrage btw spot and futures prices for soybean at CME. And secondly in the contract specification, it is said price is quoted on cent/bussel...

<t>Quotestandard error of the volatility of daily returns is statistically insignificant.Can you please clarify more on that? How the S.E. of volatility and expected mean return are related? I thought ppl use mean return as zero because of Efficient market hypothesis wherein for a liquid market no-l...

Have you tried with ARMA-GARCH specification?

Anyone please?

<t> Hi, currently I am working on commodity swap. Can anyone provide me some good references on Risk management for commodity sawp i.e. how to calculate Value at Risk for a portfolio having atleast one position in commodity swap, decomposition of risk etc under various methodologies like parametric,...

<t>I agree this thread is not directly linked to the fundamental ideology of this forum and obviously I should be blamed for rising this thread, however still I hope someone could help me out here. I am deadly need for some US macroeconomic data :1. US Nominal GDP2. US oil demand (nominal)frequency ...

If you difference, any times, a white noise series then always it introduces a structure. More times you difference it, more clear structure will be. Therefore how it does mean predictability in white noise?

Is it soft-copy? Can you please send me?Regards,

Is there any solution manual for Options futures and other derivatives by Hull, 5-th edition? I have solved some of the end-of-chapter problems but could bot be sure whether I did correctly. If anyone share that manual (if exists) then I would be grateful.