A well organized reference book with both a theory refresher and code examples for each topic: univariate and multivariate regressions, GARCH, cointegration, state space models and much more. This is a practical book for that may be also be used with R, the open-source alternative to S-PLUS. A solid background in statistics is recommended.
Research on leveraged ETFs has explained some important characteristics of these products:
- their negative exposure to volatility
- the resulting possible value erosion for long term buyers
However, the research also shows that the value erosion is not systematic. Shorting leveraged ETFs by pairs does not necessarily produce a positive return. In trending markets with low volatility, the power of compounded returns dominates the effect of value erosion (click on image to access calculator).