This post details a multivariate GARCH Constant Conditional Correlation (CCC) model. It was somewhat surprising that I didn't find a good Python implementation of GARCH-CCC, so I wrote my own, see documentation on frds.io. It performs very well, often generates (marginally) better estimates than in Stata based on log-likelihood.
This post documents how to download SEC filings from EDGAR using edgar-analyzer, a Python program I wrote. It features:
Uninitialized variable in C can be anything (most of the time). I find, in some cases, we can know the value of an uninitialized variable and thus maybe exploit it.
Python 3.8 introduced a new module multiprocessing.shared_memory that provides
shared memory for direct access across processes. My test shows that it
significantly reduces the memory usage, which also speeds up the program by
reducing the costs of copying and moving things around.1
These are two versions of winsorization in SAS, of which I recommend the first one.
Bloomberg is developing a new function in the Terminal, called BQuant, BQNT
Converting between numeric and character variables is one of the most frequently encountered issues when processing datasets. This article explains how to do this conversion correctly and efficiently.
This is a note for setting up a Docker, Nginx and Let's Encrypt environment on Ubuntu 20.04 LTS.
The Wharton Research Data Services (WRDS) allows one to submit and execute SAS programs to the cloud. WRDS has an instruction on accessing WRDS data from SAS on our own PCs. Generally, you should use:
%let wrds=wrds-cloud.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
rsubmit;
/* Code for remote execution goes here. */
endrsubmit;
signoff;
However, if you want to save the effort of entering username and password every time, you'll need to encode your password. Concluding the two articles, basically you just need to follow the steps below.
Among many reasons why people find it hard to use cryptocurrency there's a simple one -- memorising the private key is too hard. So, people invented brain wallet, which turns a string of words into a private key and thus wallet.
It's genius in that now a user needs only to memorise whatever he or she used to create the wallet. You can turn your name, phone number, DoB, favourite quote, lover's home address, ..., literally anything into a cryptocurrency wallet. However, this also means that if someone else successfully guessed the passphrase you used, they can sweep all the coins you have!