Paper: Mucha presión para una fórmula

‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material  Cultures of Modelling Abstract This paper presents a predominantly oral-history account of the development of the Gaussian copula family of models, which are used in finance to estimate the probability distribution of losses on a pool of loans or bonds, and which were centrally...+

Paper: un poco de vol estocástica para el CAPM

An Intertemporal CAPM with Stochastic Volatility Abstract:  This paper extends the approximate closed-form intertemporal capital asset pricing model of Campbell (1993) to allow for stochastic volatility. The return on the aggregate stock market is modeled as one element of a vector autoregressive (VAR) system, and the volatility of all shocks to the VAR is another...+

Frase du Jour: Datos y Dios

In God we trust; all others must bring data. W. Edwards Deming Leyendo el blog Quantitative Thoughts (altamente recomendado), me cruce nuevamente con esta frase. De dicho sitio recomiendo esta reflexión: C++ is dead. Long live C++   ________________________ Otras Frase del día que nos acompañan…. cada día..   Frase du Jour: Ley de Myron Frase du Jour:...+

Paper: FX, modelando la volatilidad

Econometric Modeling of Exchange Rate Volatility and Jumps Abstract This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to ?t the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early research modeled the autocorrelation in daily and...+