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@AnthonyLeeZhang @ben_golub @bennpeifert Thanks, Anthony, for your clear correction to my error (in my tweet 4) on the model-free forecasting. This is why I always remind everyone I'm not the expert!On twitter.com
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Mood +1 🙂
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@AnthonyLeeZhang @ben_golub @bennpeifert I do think that a lot of semi-casual observers tend to ignore (explicitly or implicitly) - Annualized ≠ annual (as if term structure is flat) - Non-normality (even if the variance forecast is OK, people—incl me—have wrong intuitive grasp of the implied quantiles) - ...Permalink On twitter.com
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Mood -3 🙁
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@AnthonyLeeZhang @ben_golub @bennpeifert ... - Risk-neutral ≠ physical (as you note) You may know (I don't) how empirically important it is that this only "works" if returns are jump-free.Permalink On twitter.com
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Mood +2 🙂