Quant Mashup - Asm Quant
Quantocracy is now on Bluesky and Threads. See the links in the header. - Mike
Extreme Value Theory [Asm Quant]
Let’s talk about tail risk modelling today. In this blog, I want to introduce Extreme Value Theory (EVT) which concerns itself with modelling of the tails of a distribution, and its key results. As we go along we will work through a toy example with basic R implementation. There are two popular
- 5 years ago, 29 Jul 2019, 09:47am -
Quantile Regression [Asm Quant]
In this post, I would like to quickly introduce what I believe to be an underutilized modelling technique that belongs in most analysts’ toolkit: the quantile regression model. As I am discussing some of the main points, I will be working with R’s quantreg package that is maintained by the
- 5 years ago, 15 Jul 2019, 09:53am -
Flexible Returns Distribution- Part I (Generalized Lambda Distribution) [Asm Quant]
It is commonly known that financial returns exhibit characteristics that are not captured by the widely applied normal and log-normal distributions. In a series of posts I want to present some flexible distributions that are well suited to model financial returns. We will work our way through quick
- 5 years ago, 4 Jul 2019, 12:05pm -