Tag: time series analysis

The popular view that nominal interest rates have a natural zero lower bound has become obsolete in modern financial systems. It may be more...

Allocators to systematic strategies usually trust live records far more than backtests. Given the moral hazard issues of backtesting in the financial industry, this...

Portfolio risk forecasting is subject to great parameter uncertainty, particularly for longer forward horizons. This simply reflects that large drawdowns are observed only rarely,...