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updated 10 months ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

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updated 1 year ago

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

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updated 1 year ago

Parametric Value At Risk by David Willingham

Computes the Parametric Value at Risk for a given Portfolio (var, value at risk, parametric value at r...)

computeParametricVaR(returns,confidence_level,plot_flag)

exampleparvar.m

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updated 1 year ago

Historical Value At Risk by David Willingham

Calculates Historical Value at Risk for a given portfolio of returns (value at risk, portfolio, var)

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

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updated 1 year ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (finance, garch, guassian copula)

varargout...

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updated 1 year ago

Estimation value at risk by using Exponentially Weighted Moving Averagege by Ali Najjar

Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average (value at risk, var, exponentially weighte...)

varargout=ewmaestimatevar(P1,P2,s,lambda,cl,w)

y=ewmacovariance(R1,R2,n,s,lambda)

y=ewmavariance(R,n,s,lambda)

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updated 1 year ago

vcVaR Function by Ali Najjar

Estimation value at risk by using Variance-Covariance Method. (value at risk, var, variancecovariance)

varargout=vcVaR(P1,P2,s,w,cl)

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updated 2 years ago

fitparp function by Ali Najjar

fitparp estimate the parameters of specified GARCH marginals models (garch, gjr, var)

varargout=fitparp(spec,r,s)

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updated almost 3 years ago

fitModelpp function by Ali Najjar

is modified of fitModel function in the Dynamic Copula 3.0 (garch, fitparp, gjr)

fitModelpp(spec, data, solver)

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updated almost 3 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

This function estimate VaR of portfolio composed of two stocks return (var, finance, garch)

varargout=copula111cGarch111VaR(r,parameters,sigmaone,sig...

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updated almost 5 years ago

PortVaR by Flavio Bazzana

VaR for portfolio stocks (finance, modeling, analysis)

(1./sqrt(2*pi)).*exp(-0.5.*x.^2);

-2/sqrt(2)*erfinv(1-2*p);

-sdvp(fix(l-l*p));

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updated 5 years ago

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (finance, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

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updated 5 years ago

Cornish-Fisher VaR by Tal Shir

Returns the Cornish-Fisher Expansion Valut at Risk. (Up to 4th moment) (value at risk, finance, risk)

CFVAR=CFvar(Rt,alpha)

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