273 тысяч подписчиков
313 видео
Vector autoregression: forecasting and trading applications (Excel)
Covariance matrix shrinkage: Ledoit and Wolf (2004)
Gradient descent in Excel
Credit risk in Basel III: Risk-weighted assets explained (Excel)
Instrumental variable regression: TSLS explained (Excel)
ARCD model explained: autoregressive conditional density (Excel)
PEG ratio explained: price to earnings growth (Excel)
Sensitivity and scenario analysis in investment appraisal (Excel)
Leave-two-out jackknife explained: advanced resampling (Excel)
Annuity factors explained (Excel)
Jackknife estimator explained: Leave-one-out technique (Excel)
Payback period and discounted payback period (Excel)
Distribution fitting in Python: Normal and Cauchy distributions
Multiple regression in Python with statsmodels
ARCH model - volatility persistence in time series (Excel)
Algorithmic trading in Python: Technical analysis and Bollinger bands
Dividend discount model - using dividends to value stocks | Part 2: Sustainable growth (Excel)
Multiple regression in EViews
=COUNTIF explained
Barrier option valuation in Python: exotic options and Monte Carlo with Johnson SU
Event Studies: Constant return, market-adjusted, and CAPM (Excel)
Generalised seasonality test: Prime numbers and market efficiency (my own paper!)
Portfolio concentration: Herfindahl, Gini, and CV (Excel)
AR and MA models in EViews
Autoregressive conditional kurtosis (GARCHK): Time-varying heavy tails (Excel)
Quantile regression in EViews
Capital market line explained: Tangency and CAPM derivation (Excel)
Capital market line with constraints using Solver (Excel)
Value-at-risk (VaR) - variance-covariance and historical simulation methods (Excel) (SUB)
Algorithmic trading in Python: Cointegration and pair trading
Duration and convexity explained: bond interest rate sensitivity (Excel)
Moving average model for time series econometrics (Excel)
Fama-French three-factor model: Size and value factors (Excel)
Exponential smoothing for mean, variance, and covariance (Excel)
Threshold GARCH (TGARCH) model: asymmetric volatility persistence (Excel)
Probit model explained: regression with binary variables (Excel)
Excel 101: Text functions
Excel 101: Matrix functions
Introduction to EViews: How to export data from Excel?
Normality tests in EViews
Covariance and correlation matrices: Three methods (Excel)
Modelling stock returns - the Laplace distribution (Excel) (SUB)
Optimal rebalancing: tolerance bands approach (Excel)
Algorithmic trading in Python: Support and resistance
Excel 101: Multiple regression with LINEST
Distribution fitting in Python: Generalised error distribution
Multivariate Monte Carlo simulation: correlated variables (Excel)
Elastic net explained: Machine learning in Excel
Sorting data in Excel: sort tab and SORT function (Excel 101)
Heteroskedasticity tests in EViews
Simulating portfolios: equal, value, fixed, and drifting weights (Excel)
Do stock returns follow random walks? Markov chains and trading strategies (Excel)
