Questions tagged [multivariate]
The multivariate tag has no usage guidance.
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LSTM multivariate Time Series Simulation
I am currently working on a project involving the simulation of multivariate time series (implied-volatilities). To facilitate this process, I am seeking a GitHub repository that provides an ...
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How to hedge a dual digital option
Let us assume we have two FX rates: $ 1 EUR = S_t^{(1)} USD$ and $ 1 GBP=S_t^{(2)} USD $. Let $K_1>0, K_2>0$ be strictly positive values and a payoff at some time $ T>0 $ (called maturity) ...
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Estimation of the Vech HAR model (Multivariate HAR)
I am trying to use the Vech-HAR (the mulitvariate HAR) model in order to forecast some covariances.
I have been looking into the model proposed by Chiriac Modelling and forecasting multivariate ...
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Multivariable objective function optimization similar to optimx in R
I have an optimization model in R that utilizes a single variable in my objective function. See below:
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How to include heteroscedasticity in copula modelling
I have a dataset of 9 variables and I want to fit a t-copula to them in order to construct a multivariate and after that resample from it.
I am using Matlab.
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Multiple Indices for CAPM model [closed]
I am new to quantitative finance so, please excuse me if the terms are not correct.
I am trying to apply CAPM on a portfolio which has multiple indices (S&P 500, Russel 1000 and S&P Financials)...
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Disjoint covariance matrix estimation
I have always estimated correlations and variances disjointly and later combine them to construct covariance matrices. Specifically, variances are estimated in a univariate setting (only using the ...
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Is it possible to use volume/dollar bars instead of time bars when analyzing multiple variables?
I recently read Marcos Lopez de Prado's book "Advances in Financial Machine Learning" where I was introduced to the concept of using volume/dollar bars instead of time bars. As far as I ...
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Can the covariance matrix be represented as a scalar or something similarly small, instead of a large pair-wise grid?
The covariance matrix tabulates pair-wise interactions between variables (assets) one-at-a-time into a grid, which can quickly become large as the number of assets included in a portfolio, for example,...
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Are the correlations of multivariate stock prices preserved when converted to multivariate returns?
If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?
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Why is Banque de France using BVAR with different orders of integration?
Don't all the variables used have to be of the same order of integration in VAR models ?
In this paper Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area Gergely Ganics ...
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Multivariate MC: what am I doing wrong?
I am trying to generate multivariate MC results presented in this paper A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method, by ...
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Degree of freedom input for Monte Carlo simulation of asset returns with multivariate t distribution
How do I calculate or estimate the degrees of freedom in order to perform a Monte Carlo simulation of asset returns with multivariate t distribution using R functions? I am able to calculate the mean ...
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Align volume bars for multivariate analysis
Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
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Generate Monte Carlo simulation of multivariate lognormal or weibull distributions in R
I intend to perform a Monte Carlo simulation of asset returns in R. I am currently using the rmvnorm function in the mvtnorm R ...
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