thank you so much for such a clear and succinct video on the concept of TFP and how to calculate it using the standard formulae. question: would you be able to make a video explaining ways available now to decompose TFP into various components?

Hi, thanks for your introduction and I have a question. How could I modify the code from GARCH to t-GARCH?

Sources??

Hi, thank you for making this video. I have a question, why didnt you include the stochastic term when calculating the expected variance?

I wasn't getting how to do MA model manually to make time series programs and this video really helped me. Thanks bro.

Nice explanation indeed. Is supremum or Dmax itself representative for KS test for small data set? I found in articles that they only compared Dmax (supremum) with Dcric. Also, Dcric value can be directly obtained from statistical table and depends on alpha and N. If N is greater than 50, then it is predefined. Please correct me if I am wrong. Also, I cannot find any reference or source to justify the way you proposed to get the p-value. I am expecting your valuable thoughts in this regard.

Great video. Thanks nedl.

Really great video! I would really appreciate it if you could share a video on how to apply the findings. The mixture distribution better fits prior returns than a simple normal distribution. How could one use the findings, in relation to the current observed implied volatility of the instrument in question, to simulate price trajectory on this instrument, estimate certain option payouts, and locate the price levels of the instrument at 1, 2, and 3 standard deviations up and down? Thanks!

6:50 slope 7:00 intercept 7:40 cointegration 8:19 X (stationary) 9:36 delta X 9:56 lagged X 10:16 coefficient 13:10 testing results 16:45 beta 19:19 t-stat characteristics and how to read them

Extremely helpful. Thank you so much!

great

appreciate your efforts

Why are they not reporting the actual LCR they got, they are reducing it by some value. Can you please explain why?

Fuck Hacker 胆子小别骇入把你们违法行为盗用Gmail 把责任退卸到受害者手机，禽兽不如！

Hey! I have several questions/comments. Firstly, while the iterative procedure seems generally correct, we are using Merton's model in the end, which is not KMV's, as KMV's uses an empirical formula for the probability of default based on historical data (so it is more of an intensity model than a structural model). It is true that it is inspired in Merton's structural model, so it may be similar and for teaching purposes this is a accurate enough. Secondly, the DPT horizon is never used in your example, instead, we use the DPT extracted from the liabilities from 2021 and 2022. Why did compute it in the first place? Where should it be used? Speaking of fundamentals, the firm itself declares its assets to be around 3.5, while the market cap is around 14. Thus, estimating the value of assets departing from the market cap value seems to me a systematic overvaluation, as usually we have from 3x to 30x depending on the sector: market valuation is usually way higher than the liquid assets that can be used to pay debt. I would agree to make an average rescaling of the values to the assets declared by the company fundamentals, and then use the ''solver" to adjust the asset volatility. Or maybe this company in particular was underpriced compared to its assets, but then, why the assets declared in the fundamentals are so small compared to our estimation of the assets of the company? Thanks for your time! The video was helpful!

If it a new title, how the market would be able to incorporate that before blizzard even have time to make money out of it?

This is not completely correct right? If at expiry S=110 but the barrier H=115 was hit sometime before expiration, the knock-in call with K=100 would still pay 10, not zero.

Hi, where can I find the data for Bilateral trade volume?

Thank you for making this learning channel. I learn alot so many things.could you please make vedio on baker and wrugler investor sentiment index?

Why should the share performance of banks have any influence on whether the bank's asset managers time the market correctly? The big banks are positioned in many business areas, with proprietary trading no longer playing a major role.

Thanks for much for the video!

Hi - can you further explain how & why the negative cofficent indicates the lack of a unit root?

Thank you so much for this video, Can this be used for bond held to maturity?

I want to ask why my annual return is #value! even though I have followed the formula

Hello, I would like to ask whether it is possible to compare investment performance using the Sharpe, Treynor, and Jensen methods?

Thanks for the video, I understood some of it. The way the strategy is explained, it sounds like we're setting a stop loss at 5%, but the potential profit when equilibrium is restored is only 2%, so it seems that this would be profitable only with an exceptionally high win rate. Is this assessment correct, or am I missing something?

Great video and visualization with excel

Wonderful presentation ... one minor remark, though. You used the weekday function to determine 'Monday' and 'Friday', but the underlying question would actually concern the 'First/Last trading day of the week", and more properly, "the First trading day following a pause in trading / the Last trading day before a pause in trading" as public holidays, natural event caused shutdowns, etc., don't necessarily fall on weekends, thus shifting the "First/Last" day of the trading week. While such a correction does increase the number of 'Mondays/Fridays' by a tick above 10%, and the final p-values drop minimally (~20/~60), they certainly do not reach significance ... just thought I mention it.

Hi, I am wondering if you could do a video on this about the YieldCurve Package on R?

Very informative video. The loss computed in monetary terms are based on, how many days?

Hi, thanks for the video! Really helpful Would like to ask, this shows the way to make the risk equally weighted, how about we intentionally want to shift the risk to one asset, what to change? Thanks

Thank you for the video! Video suggestion: VECM

Hello, i have an assignment for caunt market timing with treynor-mazuy, Rp-Rf = a+b(Rm-rf) + y(Rm-Rf)^2 +error can you describe where can i get data for "error" and " b"? I hope you reply my comment 🙏

No you have to know what ones you need to trade or you will be waiting for a profit that can take months or years to profit and costing you lots of money in overnights holding

Is the knock in and reverse knockout payoff structure same

Great video. Thanks

Hello @nedl thanks for this video however I could not find the spreadsheet used for the video in the drive shared, could you help me find it?

Where can one get the tracking error information for the last 1 year, 3 years, or 5 years for any index mutual fund?

Have you tried 5 states? Maybe it's that odd number of states lead to better p-values.

Hi, I believe that simplifying the value of assets as equal to the market cap during the iteration process may introduce distortions, especially for companies where the total asset value isn’t fully reflected in the market cap

Nicely presented

I think we should calculate the annualized return and risk based on Excess return to reflect the risk-adjusted returns ? right ? otherwise, what is purpose of calculating excess return ?

Brother i want to ask what should i do if the determinant is negative?

14:31 I was curious as to how the forecasts fared after 4 years. Out of 20, only half were hits. Of course, this is an example case: three metrics clearly won’t explain everything. UPS: correct, it dropped. Honeywell: basically correct; it didn’t grow, just stayed at the same level. UNP: incorrect, it grew. Boeing: correct, it dropped. Lockheed: incorrect, it grew significantly. Raytheon: correct, it grew significantly. 3M: correct, it didn’t grow, stayed at the same level. Caterpillar: incorrect, it doubled in value. General Electric: correct, it grew astronomically. Deere & CO: incorrect, it grew significantly. FedEx: correct, it didn’t grow. CSX: incorrect. Illinois Tools: incorrect. Norfolk Southern: correct, it didn’t grow. Northrop Grumman: incorrect, it grew significantly. Waste Management: incorrect, it grew significantly. Eaton Corp: incorrect, it grew significantly. Emerson Electric: incorrect, it grew. General Dynamics: correct, rose slightly Roper Technologies: incorrect, rose

What is your background? You appear to be extremely knowledgable

@NEDL I think you miscalculated the last portion of the volatility. I believe it will be (H5^2)/2*a

Great video. Step by step.