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.

THis is amazing!!

Thanks for the video.But If you use the parameters from the sample,in this case Donsker's theorem still valid?

still trying to grasp why it's a "cost" from the perspective of the company. if the company raised funds via shares, they won't be paying that "required" rate of return by the market

this has saved me so much time

How do you generate random variables from your estimated distribution?

Jones Matthew Johnson Timothy Brown David

Should we use KMV method to make a shadow rating? I mean make a rating results like Fitch, Moody's or S&P rating agency??

Thanks a lot for this video. I have the question. Is there a video explaining the same demonstration on Eviews

16918 Harvey Glens

Would the constant always be 1?

Inside the square root i think we should multiply by n

One question, why did you use D CAPM to calculate portfolio returns, doesnt the sortino ratio formula uses simple CAPM, thanks.

Amazing video. Crisp and precise.

guys, i think Intel is no longer overpriced........

To be clear, that was the day of the announcement of the game? If so would not be expected to wait a few weeks in order to see that the community did not liked the game and then sells went down?

Great video! This is exactly what I was looking for. I am reading CHAOS AND ORDER IN THE CAPTIAL MARKETS by Edgar E. Peters and he devotes several chapters to the Hurst Exponent. He presents a high level view and doesn't go into great detail about how the Hurst Exponent is actually estimated from data. I created my own version of your spreadsheet and added a SCRAMBLE column that contains a random value for each data element and a sort routine to sort data to REVERSE order or SCRAMBLED order. I was interested to see what the value of the Hurst Exponent was if you reverse the data and also I expected the Hurst Exponent for the scrambled data should be close to .50. As expected the Hurst exponent for the reversed data was very close to the data in normal order (.5866 for normal vs .5985 for reversed), but the result for scrambled surprised me. The Hurst Exponent for the scrambled data was .24. I tried running it 10 times with a different set of random numbers each time and got the following values for the Hurst Exponent: .24, .29, .26, .27, .24, .27, .24, .29, .27, .24 average=.26. I was expecting a value near .50 since the data is randomized. Thought you might find this interesting.

Your are a best teacher i learnt more from you then campus professor keep going we are grateful to have instructors like you

Seems like T-GARCH better fit to upper end of VIX compared to EGARCH, hence better practical simulation :)

спасибо за видео! астрологи покинули чат))

Hi, I just found your channel, I make the same exact formula for each part, but my Market return have "minus", what does it mean? for the information, I take stock data from July 31,2019 to July 31, 2024, it is indonesian stock BBRI and BMRI

Your's is one of the best channels I found on KZbin

Thanks for the great video. A rookie trying to learn so excuse the lame questions but is there any way to explain some basics : 1. How does the swap spreads for these corp and sov CDS change every minute? Given market spread is quite derivational , does the default probability change every second and that is what moves the spread? 2. The Reference Obligation or the market used ISIN, what does that reflect? Some of these CDS have the ISIN that are matured or have maturity that is shorter or longer than the tenure of the standard 5 year CDS. 3. In case of Credit Events, for bigger institutions which have issued multiple seniority level and maturity of debt, how is the debt repayment & repayment of CDS calculated?

Can I use it in India market I was already trade in pair

nice one... One query.. how to interpret KPSS result if the KPSS statistic is in between the 1% or 5% or 10% level. The higher level critical value at 1% and the rejection of a higher statistic creates confusion whenever the statistic is in between

Thank you very much for your assistance but we cannot watch clearly your videos...

Hell oThanks for the video, but when we do the OLS , we have to adjust the parameter according the time step ? I mean here is weekly observation then 1/52 ?

I'm not able to follow here how autocorrelation and heteroskedasticity are being reasonably dealt with. I have reason to believe that coping with those factors is substantially more difficult than is presented here. See for example "Revisiting Hypothesis Testing With the Sharpe Ratio," which is in the current (free) online issue of Econ Journal Watch. And I particularly suggest reading the therein-referenced article by Ledoit and Wolf, which deals head-on with those factors.

what is the difference between the omega ratio and the sortino ratio?

Great explanation!

Far too sloppy! Missing almost any detail relevant to the gap and management of ir.

The excel computation doesn't seem to be quite right, for example: the return on AAPL on 04/01/2016 i.e. 26.34/26.32*100 - 100 gives 0.076 and not 0.0855. Please check.

can you provide me with the research where it states that the Fisher's Z-test is appropriate to test wether two correlations are meaningfully different? The way I am reading it, it seems as if the Z-test is used to test wether sample distributions significantly deviate from an expected distribution/value.

so this is how nassim taleb got rich

Great Rebalancing Lesson - I have seen many videos in YT try to find which one can teach me accurately about portfolio rebalancing calculation. When I watched this I know how to rebalancing my mutual fund portfolio. I have watched your clips and subscribed your channel Thank you Master Shanaev

Thank you!

thank you for maing another video :) you explained it very well.

Thank you for your video. I found that the formula to calculate alpha(2) in your google drive is different from your video, which one should i follow?

The ship ain't going down 🤣

When it says that numerator is sum of weighted average of returns above theta, is it the same as CAGR - expected returns?

When calculting the Covariance Matrix, you didn't De-Mean the Returns - is that correct ?

Hi Sir, Many thanks for your video, but may I ask a question: can this model be adjusted to be included one or more regressors that suspected to account for that volatility? And may thanks for advance

This is very useful and applicable. Thank you.

This video is comprehensive and very informative. Thank you for this essential content.

i don't know, whyi get MVaR positif

Thanks for the uploading such videos. could u pls clarify when we are calculating for the covariance matrix why should we not multiply the formula with *sqrt(252)

In best case, this might be only a very rough approximation of Heston. Variance is not observable in Heston. In this Excel it is substituted with a single (!!!) squared return. Also, the likelihood function seems to have a mistake in the dW2 part (not accounting for the root-of-variance term in the variance process).

Hi! Could you share with us the link of the paper that you mention at the video? The "Baks, Busse and Green (2006)" one.