Rank: 687 based on 183 downloads (last 30 days) and 5 files submitted
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Alexandros Gabrielsen

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12 Aug 2013 Pluto & Tasche Upper Bound PD Model for Low Default Portfolios Estimation of the Pluto & Tasche Upper Bound PD along with Benjamin, Cathcart Ryan Statistic. Author: Alexandros Gabrielsen credit, finance, low default portfolio..., statistics 23 0
07 Dec 2011 Screenshot ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen garch, gjrgarch, egarch, narch, ngarch, agarch 63 9
  • 4.83333
4.8 | 7 ratings
23 Oct 2011 Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Author: Alexandros Gabrielsen volatility loss funct..., var, valueatrisk, kupiec, christoffersen, unconditional 36 1
16 Oct 2010 Screenshot Distributions CDF, Inv-CDF, PDF, HF, CHF, Random Generator and Log Likelihood functions. Author: Alexandros Gabrielsen gramcharlier, cauchy, optimization, parameter estimation, statistics 34 3
  • 5.0
5.0 | 2 ratings
14 Sep 2010 Screenshot Newton Raphson Optimization Procedure Newton Raphson Optimization Procedure for a set of Non-Linear Equations Author: Alexandros Gabrielsen newton raphon, optimization, mathematics, newton raphson 27 2
Comments and Ratings by Alexandros View all
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30 Sep 2011 ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen

Thanks for your comments Lurion. Currently, the toolbox estimates only univariate processes.

15 Sep 2010 Newton Raphson Optimization Procedure Newton Raphson Optimization Procedure for a set of Non-Linear Equations Author: Alexandros Gabrielsen

Thanks Sean for your comment. info = mlint('newtonraphson.m') worked fine in Matlab 7.6 and did not reveal any significant errors/bugs. Please feel free to contact me with comments, suggestions, or bugfixes.

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14 Apr 2014 ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen Abdelrazzaq

I finally found what I want. Honestly, we cannot thank you enough. I just suggest to add:
1-the Range-GARCH (RGARCH) based models that use high, low, open, close and volume time series data.
2-Bench mark-based tests such as Diebold-Mariano.

19 Aug 2013 Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Author: Alexandros Gabrielsen Mario

I think MSE1 and MSE2 should be this way:

MSE = sum((st-ht).^2)/length(st)

and not like:

MSE = (sum(st-ht).^2)/length(st)

Thank you for the function!

15 May 2013 ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen w, Da

I am using matlab 2013a. It is not working in matlab 2013a. while using function 'garch', it gets 'The constructor for class 'garch' must return only one output value.' Please fix it, Thanks!!

15 May 2013 ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen w, Da

06 Apr 2013 Distributions CDF, Inv-CDF, PDF, HF, CHF, Random Generator and Log Likelihood functions. Author: Alexandros Gabrielsen R, Alexandra

It will be nice if u can add a new distributions like hyperbolic that is wide spread and NIG distribution (a particular case of hyperbolic distribution).

I would really appreciate a toolbox with this distributions applied to GARCH models

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