Quantcast – a Risk.net Cutting Edge podcast cover image

Julien Guyon – 01/08/23

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

The Aduminous Q Is Finite for Zero Maturity

In log-log scale, we get indeed a straight line for maturity is larger than one month. So that means a power low in the natural scale. But we get another very different straight line for mature is less than one month - it's completely flat. And that means that the aduminous Q for those indexes does actually probably not blow up for the zero maturity. Eventually, we end up with a conclusion that at least for DAX and the U-R-Stokes, the adumnous Q is finite for zero maturity"

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