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Martin Magris


Last seen: 4 mesi fa |  Attivo dal 2018

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Isolines (quantiles) of bivariate normal distribution
Calculates the elliptic isolines corresponding to quantiles of bivariate normal distribution

quasi 4 anni fa | 1 download |

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Breusch-Pagan test
Breusch-Pagan test for heteroskedasticity in a linear regression model (original and Koenker's versions).

quasi 4 anni fa | 14 download |

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Fast and essential linear regression
Essential, fast and efficient simple linear regression

circa 4 anni fa | 1 download |

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Unobservable Selection and Coefficient Stability
Implementation of: "Unobservable selection and coefficient stability: Theory and evidence.", Oster E, JBES 37.2 (2019)

circa 4 anni fa | 1 download |

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Compound Poisson distribution (CDF, PDF, random number)
CDF/PDF and random number generator for a compound Poisson distribution with jumps distributed according to iid gamma distributi...

oltre 4 anni fa | 1 download |

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VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data

oltre 4 anni fa | 1 download |

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Lee Mykland nonparametric jump detection
Nonparametric jump detection method

circa 5 anni fa | 2 download |

Risolto


Elapsed Time
Given two date strings d1 and d2 of the form yyyy/mm/dd HH:MM:SS (assume hours HH is in 24 hour mode), determine how much time, ...

circa 5 anni fa

Inviato


Inverse empirical cumulative distribution function
Quantile function or inverse-ECDF of some data-sample. Data is finite and the ECDF from which the inverse is taken is discontiuo...

circa 5 anni fa | 7 download |

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Log-likelihood of the Hawkes process
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.

oltre 5 anni fa | 2 download |

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COS method (Fang, Osterlee)
Evaluating PDF and CDF given the characteristic function via COS (Fourier-cosine) method

quasi 6 anni fa | 4 download |

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Detrended fluctuation analysis (DFA)
Function and examples for running DFA

quasi 6 anni fa | 17 download |

Domanda


Plot financial data continuously in time
<</matlabcentral/answers/uploaded_files/106754/example_commented.png>> Unfortunately couldn't find an existing topic on the f...

circa 6 anni fa | 2 risposte | 0

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