Week in Financial Education (April 19, 2021)

I hope you enjoy my latest time series question set (P1.T2.21.2). It was fun to develop these with actual code snippets. GARP's text (Chapter 11) on the Augmented Dickey-Fuller (ADF) might seem dense to readers, but you'll see that in R we can execute the test with a single function call, adf.test(). As a practical... Read More

Week in Financial Education (April 12, 2021)

I hope you enjoy my latest non-stationary time series (TS) question set (T2.21.1. below). As with the previous TS Q&A, I provided code snippets to add to the realism. For example, you can see how easy it is to determine the (unit root) polynomial roots. In that regard, I considered including a question that requires... Read More

Week in Financial Education (April 5, 2021)

This week we had a interesting question about the definition of duration due to an apparent difference between GARP's new material and Tuckman. It's a good chance to understand the math that underlies this fundamental bond risk measure. In external news, Archegos is a dominant story (and likely future FRM case study). Finally, David mentions... Read More