Apr
7
This function returns the Newey-West estimator of the asymptotic variance matrix. What is Newey West? it was proposed by the author Whitney K. Newey and Kenneth D. West in their paper "A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix" at 1987. It rests on considerations of the so-called “frequency domain representation” of the Ft’s and also of a number of notions associated with nonparametric estimation procedures.
One possible application of Newey West estimator is for long run variance covariance calculation; another might be for the improvement of OLS regression when the variables have heteroskedasticity and autocorrelation.
Download at http://www.homepages.ucl.ac.uk/~uctprgi/Matlabcode.htm
One possible application of Newey West estimator is for long run variance covariance calculation; another might be for the improvement of OLS regression when the variables have heteroskedasticity and autocorrelation.
Download at http://www.homepages.ucl.ac.uk/~uctprgi/Matlabcode.htm
Apr
6
Long term memory has frequently been observed in time series. Statistical theory for long term memory stochastic processes is largely different from the standard time series analysis, which assumes short term memory. The Allen variance is a particular measure of variability developed for long term memory processes.
Taken from Wikipedia, "The Allan variance, named after David W. Allan, is a measurement of stability in clocks and oscillators. It is also known as the two-sample variance. It is defined as one half of the time average of the squares of the differences between successive readings of the fractional frequency error sampled over the sampling period."
I am not quite convinced how to use Allan variance for stock returns, that is, given stock return time series, can we better estimate its long term variance by Allan variance? any idea?
Allan variance Matlab code is easy to write and can also be downloaded at: http://www.alamath.com/index.php?option=com_content&task=view&id=19&Itemid=31
Taken from Wikipedia, "The Allan variance, named after David W. Allan, is a measurement of stability in clocks and oscillators. It is also known as the two-sample variance. It is defined as one half of the time average of the squares of the differences between successive readings of the fractional frequency error sampled over the sampling period."
I am not quite convinced how to use Allan variance for stock returns, that is, given stock return time series, can we better estimate its long term variance by Allan variance? any idea?
Allan variance Matlab code is easy to write and can also be downloaded at: http://www.alamath.com/index.php?option=com_content&task=view&id=19&Itemid=31
Apr
5
Excel Add In (Visual Basic) for Black Scholes, Numerical Integration and Probability Density Estimation
This is a MS Excel Add In (with Visual Basic Source Code) for several separated issues:
1. Numerical Integration
2. Golden Section Search for Max/Min
3. Probability Density Estimation Using Kernels
4. Black Scholes Option Valuation, Implied Volatility and Option Greeks
Many of these functions can also be used in standalone Visual Basic applications.
Read Installation and Use Instructions. Download Excel Add-In and Visual Basic source code as a zip file or as tar.gz file at http://www.iimahd.ernet.in/~jrvarma/software.php
This is a MS Excel Add In (with Visual Basic Source Code) for several separated issues:
1. Numerical Integration
2. Golden Section Search for Max/Min
3. Probability Density Estimation Using Kernels
4. Black Scholes Option Valuation, Implied Volatility and Option Greeks
Many of these functions can also be used in standalone Visual Basic applications.
Read Installation and Use Instructions. Download Excel Add-In and Visual Basic source code as a zip file or as tar.gz file at http://www.iimahd.ernet.in/~jrvarma/software.php
Apr
2
A toolbox accompanying the book "Financial Engineering: Derivatives Pricing, Computer Simulations, Market Statistics", (couldn't find the book on Amazon, surprisingly), which provides a comprehensive overview of financial markets and a cutting-edge discussion of mathematical and numerical methods employed in Financial Engineering. The primary topics covered include: in-depth reporting of derivatives' pricing models, constructions and practical application of exotic options, and market statistics with a comprehensive review of time series models.
Selected chapters:
1. Introduction
2. Financial markets
3. Securities
4. Basic derivatives (forwards, futures, swaps and options)
5. Financial mathematics of discrete models
6. Financial mathematics of continuous models
7. Term structure models
8. Construction and pricing of exotic derivatives
9. Market statistics
10. Alternative models
Downloading at: http://www.im.pwr.wroc.pl/~hugo/stronaHSC/Podstrony/ksiazki/if_gb.html
Selected chapters:
1. Introduction
2. Financial markets
3. Securities
4. Basic derivatives (forwards, futures, swaps and options)
5. Financial mathematics of discrete models
6. Financial mathematics of continuous models
7. Term structure models
8. Construction and pricing of exotic derivatives
9. Market statistics
10. Alternative models
Downloading at: http://www.im.pwr.wroc.pl/~hugo/stronaHSC/Podstrony/ksiazki/if_gb.html
Apr
2
This is a review of week.
College shall be a time of studying, a time of risk taking, and a time of tension. Most of those tensions stem from bills. From student loans to schoolbooks, college life costs expensive. A lot of pupils apply for for student credit cards at school.
Student credit card is given to any member of the academic organizations disregarding whether he or she is part time or full time, undergraduate or graduate student, international students who are exchanging, working or learning in the United States, university staffs either full time or part time faculty and executives who are 16 year old age and above. For those students who are less than 18 years of age accepted from the parents or the guardian is compulsory.
Applying for a student credit card is suggested because it can help pupils in making their accredit history which might be useful in the future particularly in finding loans like automobile, real estate or even immediate payment loans. Most of international students and scholars discover it actually hard to receive a credit card as they lack a credit card history. For them to make a credit card history they ought to have a credit card or at the least consume a history in paying back debts of whatever case. It is indeed a frustrative position specially if you are seriously in need of financial help.
College shall be a time of studying, a time of risk taking, and a time of tension. Most of those tensions stem from bills. From student loans to schoolbooks, college life costs expensive. A lot of pupils apply for for student credit cards at school.
Student credit card is given to any member of the academic organizations disregarding whether he or she is part time or full time, undergraduate or graduate student, international students who are exchanging, working or learning in the United States, university staffs either full time or part time faculty and executives who are 16 year old age and above. For those students who are less than 18 years of age accepted from the parents or the guardian is compulsory.
Applying for a student credit card is suggested because it can help pupils in making their accredit history which might be useful in the future particularly in finding loans like automobile, real estate or even immediate payment loans. Most of international students and scholars discover it actually hard to receive a credit card as they lack a credit card history. For them to make a credit card history they ought to have a credit card or at the least consume a history in paying back debts of whatever case. It is indeed a frustrative position specially if you are seriously in need of financial help.
