Factors on Demand: Goodness(Who,M) - File Exchange

Code covered by the BSD License

Highlights from
Factors on Demand

BlackScholesCall(spot,K,r,vol... Black-Scholes price of a European call
ComputeCrossCorrelation(Y_F, ... C = ComputeCrossCorrelation(Y_ZZ, Y_F, Corr_Y_F, exp_window_size)
DisplayCumumlBars(C)
EstimateUnitNormalCorr(Y_X, e... C = EstimateUnitNormalCorr(Y_X, exp_window_size, shrink_factor)
Goodness(Who,M)
MvnRndMatchCrossCov(S, vararg... X = MvnRndMatchCrossCov(S, J) simulates a panel of J scenarios of a
SimulateFactorsResiduals(Corr... [Y_F,U] = SimulateFactorsResiduals(Corr_Y_F, volU, J)
X=MergeMargCop(W,F,U)
[W,F,U]=SeparateMargCop(V)
[Who, Num, G]=AcceptByS(OutOf...
[Who, Num, G]=Naive(OutOfWho,...
[Who, Num, G]=RejectByS(OutOf...
[Who, g]=ExactNChooseK(OutOfW...
interpne(V,Xi,nodelist,method) interpne: Interpolates and extrapolates using n-linear interpolation (tensor product linear)
S_Main.m
S_Main.m
S_Main.m
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from Factors on Demand by Attilio Meucci
Proper implementation of factor models: bottom-up estimation, top-down attribution

Goodness(Who,M)

function g = Goodness(Who,M)

Cov_FF_k=M.Cov_FF(Who,Who);
Cov_XF_k=M.Cov_XF(:,Who);
minCov_U=Cov_XF_k*(Cov_FF_k\(Cov_XF_k')); % abriged version of variance of error
g=trace(minCov_U);                        % abridged version of r^2

Highlights from Factors on Demand

Highlights from
Factors on Demand