TSARMARJMCMC

TSARMARJMCMC

Description: Estimate univariate, stationary Autoregressive Moving

pyTSA_GDPChinaSARIMA

pyTSA_GDPChinaSARIMA

Description: This Quantlet builds plots time series and ACF of Chinese quarterly GDP from 1992 to 2017

BCS_NonparametricRegressions

BCS_NonparametricRegressions

Description: Multiple nonparametric regressions for DAX log-returns on FTSE

TEDAS_gestalts

TEDAS_gestalts

Description: Plots cumulative returns of 3 TEDAS_gestalts

MVAnpcahousi

MVAnpcahousi

Description: Calculates and plots the correlations of the first three PCs with the original variables for the standardized Boston housing data.

COPSimStuPercRelBiasMix

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)