TSARMARJMCMC
Description: Estimate univariate, stationary Autoregressive Moving
pyTSA_GDPChinaSARIMA
Description: This Quantlet builds plots time series and ACF of Chinese quarterly GDP from 1992 to 2017
BCS_NonparametricRegressions
Description: Multiple nonparametric regressions for DAX log-returns on FTSE
TEDAS_gestalts
Description: Plots cumulative returns of 3 TEDAS_gestalts
MVAnpcahousi
Description: Calculates and plots the correlations of the first three PCs with the original variables for the standardized Boston housing data.
COPSimStuPercRelBiasMix
Description: Plots the percentage relative bias of the estimates obtained for
VWAP_FASTEC_Training
Description: Application of FASTEC on the training data. Fit VAR model on factor laodings. Generate plots of daily curves and tables with error measures.
BCS_PopularKernels
Description: A function is implemented to use all four different kernel
SFM_GDP_excess_losses
Description: This program fits Generalized Pareto Distributions to excess losses of stock/index.
XFGiv06
Description: Estimates a common principle components model for the implied volatility data (XFGvolsurf01.dat, XFGvolsurf02.dat, XFGvolsurf03.dat) and computes a likelihood ratio test.
alpha_t-RIM
Description: This research uses historical news sentiment and historical stock prices to predict the stock of a given asset. A detailed description of how to use the code and how to set up the environment to run t...
Newssurprise
Description: Plot news surprise index. The definition of surprise follows
BCS_Poispdf
Description: Plots the probability mass distribution of the Poisson
SFEVaRHAC
Description: According to the VaR methodology the profit and loss (P&L) is plotted against the time. The dots represent the empirical P&L stated by the data. The four curves under the dots correspond to the lower ...
SFEVolaTermStructure
Description: Shows an intersection of the implied volatility surface, illustrates time to maturity structure of implied DAX volatilities at the money.
SPMadditivebostonh
Description: Computes an additive fit for the Boston housing prices.
MVAregzoom
Description: Plots a section of the linear regression of the sales (X1) on price (X2) for the pullovers data. Graphical representation of the relationship: total variation = explained variation + unexplained varia...
STFcat07
Description: Plots the difference between zero-coupon CAT bond prices in the Burr and lognormal claim amount cases for a non-homogeneous Poisson process governing the flow of losses.
CVaR_converging
Description: Plotting the CVaR for all sets of different initial weights and see it converging
FRM-EM-paper
Description: Uplifted hierarchical risk parity based FRM portfolio construction.
Financial Report Analysis BERT...
Description: To extract and via word embedding methods to visualise financial reports.
ISP_distContinuous
Description: Plots of different continuous distribution functions.
3DPCASeller&Consumer
Description: the 3D plotly result of PCA for Seller and Consumer
ARRscamer
Description: Creates scatterplots of the main scores of Handelsblatt (HB), RePEc (RP)