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Hi Convexity Normality is only an assumption which makes a lot of calculations easier (option pricing, VaR, etc). If you take a look at an empirical distribution you often see that it is not normally distributed . Compare an empirical distribution to the normal distribution and you will...

Hi I have two questions that I hope you can answer. First Q I've been doing a few regressions and have been wondering if I can use a specific type of data. I would like to analyse if a change in the unemployment rate has an effect on consumption. However, I'm not sure if I can treat the...

Hi David.. thanks a lot! I've placed a link to the file in my dropbox (a clever backup system) instead. I still get the error message I described in the last post. http://dl.getdropbox.com/u/549701/Exercise 2.xlsm I hope this is OK.

I can't upload the spreadsheet with IE instead of Firefox.. this error message is shown on top of the page..: Notice: Undefined index: preview in /home/bionictu/public_html/btsystem/modules/forum/mod.forum_core.php on line 6421

It won't upload the spreadsheet..

Hi I've been working on a spreadsheet where do some portfolio calculations, and have just seen the screencast on log returns. Now I am worried that my results regarding the expected portfolio return on sheet 2.4 are wrong, because I have used log returns. Should I have used discrete...

Hi David Thank you for the explanation. I have one practical problem though. I have downloaded your example of MLE but I have a problem when I am trying to get the results you have got. The solver tells me that there is an error in either a target cell or in one of the constraints. Here...

Hi David Thank you for your quick response. I would really like to se an example of max likelihood to get an idea of how big a hasle it really is. Don't worry about adding to the confusion. It helps me understand the ups and downs of a model. How big a problem is the aspect of treating the...

Hi. In both your qaunt study notes and in Jorions VaR it is mentioned that the problem with GARCH is the models nonlinearity. I don't really understand the implications of nonlinearity. Jorion writes that it is a problem when trying to estimate the parameters. Is he talking about the...