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Thank you for your code. It is really helpful, since there are no documentation about the rolling VaR elsewhere.
From my side, I want to implement the code for a panel DataFrame (for i stocks, and t time). However, I am struggling to adapt the code for that purpose. I don't know if this is the best way to reach for an answer.
Thank you for any advice!
The text was updated successfully, but these errors were encountered:
Hello talaikis,
Thank you for your code. It is really helpful, since there are no documentation about the rolling VaR elsewhere.
From my side, I want to implement the code for a panel DataFrame (for i stocks, and t time). However, I am struggling to adapt the code for that purpose. I don't know if this is the best way to reach for an answer.
Thank you for any advice!
The text was updated successfully, but these errors were encountered: