'Log returns' presentation slideshows

Fin305f: LeBaron, 2019 Campbell notes

Fin305f: LeBaron, 2019 Campbell notes. Chapter 2: Static Portfolio Choice. Small risks: Linear approximation. Section 2.1.2. Simple 2 period investment problem. Maximum problem. Simple portfolio decision (part 1). Add controlled mean to excess return:. Simple portfolio decision (part 2).

1.08k views • 51 slides

Fin305f: LeBaron, 2019 Campbell notes

Fin305f: LeBaron, 2019 Campbell notes. Chapter 2: Static Portfolio Choice. Small risks: Linear approximation. Section 2.1.2. Simple 2 period investment problem. Maximum problem. Simple portfolio decision (part 1). Add controlled mean to excess return:. Simple portfolio decision (part 2).

514 views • 51 slides

Chapter 12 & 13 Cliff Notes Binomial Option Pricing

Chapter 12 & 13 Cliff Notes Binomial Option Pricing. The Two-Period Binomial Tree (Review) Suppose u and d are constant. After one period, there are two possible prices for the asset, namely uS and dS . In the second period, each of these two prices can itself go up by a

655 views • 49 slides

Heavy Tails and Financial Time Series Models

Heavy Tails and Financial Time Series Models. Richard A. Davis Columbia University www.stat.columbia.edu/~rdavis Thomas Mikosch University of Copenhagen. Outline. Financial time series modeling General comments Characteristics of financial time series

504 views • 41 slides

Testing extreme value conditions ? an overview and recent approaches

413 views • 31 slides

Preliminary Data Analysis

265 views • 17 slides

Chapter 1

409 views • 14 slides

UNR * STAT 758 * Spring2010

GARCH. Generalized Autoregressive Conditional Heteroskedastic Models. UNR * STAT 758 * Spring2010. Standard and Poor index (S&P500). Standard and Poor index (S&P500) : Returns (first difference). Standard and Poor index (S&P500): Log transform.

239 views • 12 slides

Exploratory Data Analysis

Exploratory Data Analysis. Haolan Cai Econ201FS: Spring 2009. Log Returns and Absolute Log Returns. GE. INTC. Signature Volatility Plots. GE. INTC. Bi-Power Variation with Varying Minute Intervals. GE. INTC. Investigation of Jump Days. GE. INTC.

78 views • 7 slides