Viewing profile — QuantMash
QuantMash
HN member- Joined
- Tue, Feb 09, 2016, 7:32 AM UTC
- HN karma
- 34
- Public activity
- 5 items
- HN profile
- View on Hacker News ↗
About QuantMash
No profile information was provided.
Recent public activity
-
comment
Comment #11068450
Interesting. I'm no statistician but the blog post states that the authors of the original paper (Lo and Mckinlay) claim the test is heteroskedasticity-consistent. So what are you …
-
comment
Comment #11065168
The article clearly states that the test extends to many forms of randomness beyond Gaussian: "Nevertheless, the desired effect of stochastic volatility namely, fatter tailed distr…
-
comment
Comment #11065134
Apologies.
- comment
- story