Emanuele Canegrati:
The mean and sd are unlikely to fully characterize the pdf of returns
(there is serial correlation, heterogeneous kurtosis, and stochastic
volatility to worry about, at least). I think you might want a block
bootstrap, i.e. your generation of random datasets will select groups
of contiguous obs from the actual data. Simulations are tricky at
best, but simulating stock market returns is a real bear (or bull,
depending), so I would advise you to get someone experienced with
simulating stock market returns to become a coauthor and help you out.
On Wed, Jul 2, 2008 at 6:30 AM, emanuele canegrati
<[email protected]> wrote:
> I have to perform some montecarlo simulations of market returns with STATA. I would like to generate these returns from the original time series under the condition they reflect the actual PDF and so I think I need to calculate the mean and the standard deviations of returns. Which is the programme I have to write? I have to perform any non-parametric analysis before in order to calculate the actual distribution of my returns?
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