Volatility Forecasting: HAR Model
Among the different members of the family of volatility forecasting models by weighted moving average1 like the simple and the exponentially weighted moving...
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Combating Volatility Laundering: Unsmoothing Artificially Smoothed Returns
Introduction It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly seri...
Bootstrap Simulations with Exact Sample Mean Vector and Sample Covariance Matrix
Bootstrapping is a statistical method which consists in sampling with replacement from an original data set to compute the distribution of a desired statist...
Cluster Risk Parity: Equalizing Risk Contributions Between and Within Asset Classes
The equal risk contribution (ERC) portfolio, introduced in Maillard et al.1, is a portfolio aiming to equalize the risk contributions from [its] different co...
Volatility Forecasting: GARCH(1,1) Model
In the previous post of this series on volatility forecasting, I described the simple and the exponentially weighted moving average volatility forecasting m...