Search found 3 matches

by mpt
Wed Jan 30, 2013 4:59 pm
Forum: Volume II
Topic: Factor Model Monte Carlo
Replies: 1
Views: 2858

Factor Model Monte Carlo

Hi Carol,

Do you have any views on the use of Factor Models with Monte Carlo? Thanks
by mpt
Fri Jan 11, 2013 1:33 pm
Forum: Volume II
Topic: Missing Data
Replies: 1
Views: 2138

Missing Data

Hi Carol, Do you have a preferred method for dealing with missing data? I'm carrying out a piece of cross-market risk analysis and I have a number of missing prices (holidays, technical issues etc). In "Market Models" you discussed the use of PCA for overcoming similar data problems. Are y...
by mpt
Mon Nov 05, 2012 11:14 am
Forum: Volume II
Topic: EWMA Half-Life
Replies: 1
Views: 9141

EWMA Half-Life

Hi Carol, Firstly can I say what a great series of books you've produced - the best I've seen in this field by some distance. I have a question regarding EWMA half-life ("Practical Financial Econometrics", pg 7). You state that you use a lambda of 0.95 which corresponds to a half-life of a...

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