explanatory power?
- Thread starter itsyourz
- Start date
Explanatory power (usually is R-sq) for the regression examples. May mean something else in models. R2, adj R2, or any other measure.
Unwinding is taking negative position. CDS unwinding for e.g. is to sell it at maturity (if default hasn't occurred) and similiarly for bonds rolling over means buying something similiar and unwinding is selling same or equivalent (if allowed e.g. for trsy and agencies above 15-20 yrs or something like that). David can better explain
Unwinding is taking negative position. CDS unwinding for e.g. is to sell it at maturity (if default hasn't occurred) and similiarly for bonds rolling over means buying something similiar and unwinding is selling same or equivalent (if allowed e.g. for trsy and agencies above 15-20 yrs or something like that). David can better explain
Thanks skcd! I can't explain better than that (R^2 not to be confused with power of a test, which is P[not committing a Type II error])
I was thinking, too, that in the Metallgesellshaft case study, that the stack-and-roll hedge gives an example: the stack is to go long short-term oil contracts, then one month later, those are "unwound" (closed out) to enter into a new long stack of short term futures. I think is an example of an unwind?
David
I was thinking, too, that in the Metallgesellshaft case study, that the stack-and-roll hedge gives an example: the stack is to go long short-term oil contracts, then one month later, those are "unwound" (closed out) to enter into a new long stack of short term futures. I think is an example of an unwind?
David
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