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                                            John Sorensen

Garman-Klass Volatility Estimator Returns Empty Series for Valid OHLC Data in mlfinlab 2.3.0

It might be a problem with the data. I was testing my own implementation of the GK estimator on a futures dataset including the EuroBond, and I got nan results...

Calculating CVaR - can't replicate the results I see in the portfolio_performance

I am seeing similar issues with CDaR. For instance, after looping through a range of returns and getting the efficient return with min CDaR, the frontier is actually lower than...