This class was created by Brainscape user Ari Heiy. Visit their profile to learn more about the creator.
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Ari Heiy
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Decks in this class (16)
Ch 3 - Time series concepts
What is a white noise process,
What is an iid white noise process,
What is a gausian white noise pro...
4
cards
Ch 4 - ARMA processes
What is an ar process,
What are the assumptions in an ar...,
What do you mean by stationarity
9
cards
Ch 5 - Empirical features of financial asset returns
Strictly only the ____ is a momen...,
Why do we annualize the mean and ...,
The most common way to annualize ...
7
cards
Ch 6 - Testing for predictability in financial time series
The simplest and most widely cite...,
What is the difference between co...,
When the data exists heteroskedas...
5
cards
Ch 7 - Efficient market hypothesis and market predictability
What is the efficient markets hyp...,
What is jensens definition of mar...,
What did malkield refine the mark...
14
cards
Ch 8 - Modelling asset volatility : an introduction
What is homoskedasticity,
The squared residual can reveal i...,
How do we model the regression if...
4
cards
Ch 9 - Modelling asset return volatility: extensions
Why does the vanilla garch model ...,
What are 2 models that account fo...,
One way of illustrating the diffe...
8
cards
Ch 10 - Multivariate volatility models
The variance of a vector of rando...,
What are 2 problems in multivaria...,
Name 2 multivariate volatility mo...
4
cards
Ch 11 - Optimal forecasts and forecast evaluation
Given a loss function l an optima...,
What is a limitation of the quadr...,
Under mse loss what properties ar...
4
cards
Ch 12 - Forecast comparison and combination
Why will just about any model be ...,
What is a diebold mariano test,
What is forecasting encompassing
4
cards
Ch 13 - Risk management and value at risk models
What are some problems of measuri...,
What is the alpha var,
What is meant by support
10
cards
Ch 14 - Risk management and VaR backtesting
What is one way of evaluating the...,
If the var forecast is optimal th...,
What 2 forms is the hit variable ...
6
cards
Ch 15 - High frequency data : Diurnality
What is high frequency data,
What are some ways of testing for...,
What is one short coming of the d...
4
cards
Ch 16 - Modelling high frequency data : Irregularly spaced data
What is the objective of modellin...,
What is a trade duration,
Periods of intense trading are ge...
7
cards
Ch 17 - Modelling high frequency financial data : Discreteness
One way of looking at discrete ti...,
The ads model for discrete prices...
2
cards
Ch 18 - Spurious regressions and persistent time series
What are the 2 main types of mode...,
The time trend models intervals a...,
The intervals from the random wal...
6
cards
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QF
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