Відео

Was very confused until I found this gem thank you 💜

please share all the excel files in the description

hi, i am wondering, what i should do if i see the error about "name 'np' is not defined"

That was helpful!! I'm in a data science course but it lacks statistic classes, so I can barely tell what that bunch of indicators on the summary mean. Do you recommend any book, course, paper or anything on statistics to help me understand the basis of it and what the indicators mean?

Thank you so much, Sir. I watched a lot of your videos. You have saved my life.

Really nice video, my question is, where can I find the data to perform this analysis?

My alpha and beta converge to 0, maximising my LL to ~7600, using very similar data to yours. What could be going wrong?

Great!!!

Sir, I've got a question. Excellent video! 🎉 I will take my time to research more about this method. I was just wondering if you have a source of the complete formula for Standard Deviation. I believe there is no software that makes the whole algorithm directly.

hi can you help me to do in my data?

Plisttt cara meningkatkan r square dalam eviews gimana caranya??

Mine is data panel, how I do itt

would you follow the same procedure with daily prices/returns?

Great video, what about a video on 6 (or 4) Factor Model? Fama-French 5 Factor (or 3) + Momentum (excluded by Fama & French due to difficulties in explainability but evaluated by Carhart in the 4 Factor Model)?

Thank you for the video! Quick question: if I want to use German-Klass to estimate daily volatility (as an alternative of a sum of squared intraday returns), do I just omit the summation and 1/n division?

I'm getting errors for the lower half of the data for some reason, why might this be?

How I calculate AR, CAR if I only have 1 firm but there are ten event days

On peut avoir cette vidéo en version française svp

very nice 😊

hey,thanks for your videos! And I want to ask some questions .I am now using R language to reproduce the prediction effect of the HAR-RV model. I first divided it into a test set and a training set, and then I used the training set to regress it to find its coefficient. Then I want to know, for RVt-1, RVt-5, RVt-22, what should I do if the training set does not meet the number of lagged items. For example, for RVt-22, should the regression data start from RV, RVt-1, RVt-5 corresponding to the first item of RVt-22?

Criminally underrated channel.

Hi great content but would appreciate if you can talk a bit slower :)

Do you help with class projects?

Great Content! Video request: Factor decomposition of an example CTA hedge funds return, regressed against factor indexes like volatility, carry, mean reversion/value, time series momentum

Another great video. Really appreciate your content and efforts to make the calculations understandable. Also appreciate the context and qualitative considerations that are discussed after doing all the math. Thanks for all you do.

Thank you!

beautiful content

Thanks, really useful.

Hi, thank you for the clear explanation. Does anyone know how to run a monte carlo simulation by assuming that the stock return follows the t-distribution? By searching on the internet I found that in Excel the formula to generate the random numbers is: =mean + stdev * T.INV(RAND(),df) where the mean, stdev, and df are determined from historical data. However, from your example, you mentioned that the standard deviation need to be scaled by sqrt((df-2)/df). Do I also need to scale it here to generate the random numbers? It'd be nice if you can point me to relevant books/articles on this topic. Thank you.

why did u multiply insensitive assetes and liabilities with duration generated via whole asset and liabilities ? isnt that true that only sensitive assets may change if IR changes.

Придётся смотреть все Ваши видео ) спасибо

When do I use log returns and when do I use simple returns for the calculation?

How about using VOM 24:57 (variable order Markov chain). Do you find them more suitable for boosting of prediction accuracy?

Hi Sava, Any chance that you could implement Hierarchical Risk Parity in excel? I know, stupid question 🤕

You have a real knack for teaching. This video is superb. Thank you.

Thank you for your kind words regarding the research paper. I would be happy to clarify the software utilized for data analysis. The analyses and graphical representations were conducted using Excel?

Wondering if it applicable for supervisory test for central counterparties

Thanks, you saved me from failing my exam ❤

Thank you for the great video, i have a question as well. When they say that the estimation window and the event window needs to not overlap, did we just achieve this by not taking the same date as the date that the anticipation window starts? or we need to leave more days in bettween?

This great explanation about CSAD and herding behavior…. I would to contact you for my study …. Thanks

Hi. Is there any way to forecast the taleb ratio?

Awesome video. How would you model correlated electricity and fuel prices in this way? Which distribution would you assume? Also how do you accurately estimate the correlation of time series data? Thanks! I’ve already learnt a ton, you’re a star

Srsly the best video out there that explains the linest function.

French Guy. Beautiful job. Thanks a lot for your contributions and the help you provide for others. Sorry for my English I'm not so fluent !!!!

Looking back hind sight, many of the companies that were undervalued stayed undervalued because they were poorly managed companies. There is no perfect formula for valuation, every valuation is subjective. Stock prices are just a fundamental mechanism of human behaviors and corp governance. I would never rely on excel spread sheets to make my investment decisions.

Excuse me, i want to ask sir. Why there is a different formula in objective function to minimize SSE, between sklearn library and this video. What is the different ?? Thx

Thank you so much for sharing valuable information

Thank you!

Thanks for this very helpful video. I am still struggling a bit with the results of my time series though... . DurbinWatson is 2,108 . BreuschGodfrey show 0,000% as p-value for both F-stat and Chi-sq . BoxPierce and LjungBox show 67,5% and 67,0% as p-values. So yes, I guess that means there is some strong signs for autocorrelation which does not surprise me but I am puzzled about the results of BoxPierce and LjungBox being rather elevated? Heinrich

I don't understand why variance is your residual squared, when your residual is not 0,0158 but instead 1,58... When you calculate the drift you get 0,0945 but when you then calculate the residual you subtract 0,0945 with -1,49%. This seems wrong..?