Roman | PortfolioOptimizer.io @portfoliooptim

Democratizing access to the Nobel Prize-winning science of portfolio optimization. Free Web #API available at https://t.co/Sc4wrvf02k. portfoliooptimizer.io France Joined July 2021

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Roman | PortfolioOptimizer.io @portfoliooptim

6 months ago

New blog post on the Heterogeneous Exponential volatility forecating model (HExp)-> portfoliooptimizer.io/blog/volatilit… That model - due to Bollerslev et al. - is a variation of the HAR model, where simple moving averages are replaced with exponentially weighted moving averages.

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