Rank: 915 based on 162 downloads (last 30 days) and 7 files submitted
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Semin Ibisevic

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www.qoppasociety.org

Professional Interests:
econometrics, qoppa, investment, society

 

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29 Apr 2013 Corrado and Su (1996) European Option Prices Compute European put and call option prices using the Corrado and Su (1996) model. Author: Semin Ibisevic option pricing, european, call, put, blackscholes, corradosu 33 0
13 Apr 2012 Screenshot Get Geometric Location and Other Information Tracks down your geometric coordinates and other information on the base of the IP address Author: Semin Ibisevic geometric, coordinates, ip, address, location, city 16 1
10 Apr 2012 Screenshot Volume Weighted Average Price from Intra-Daily Data Retrieves the VWAP from intra-daily data of Google Finance Author: Semin Ibisevic volume, weighted, average, price, vwap, intra 23 2
11 Feb 2012 Screenshot Simple Portfolio Optimization Methods Myopic, Constant or Buy-and-Hold and Dynamic Strategies to calculate the optimal portfolio weight. Author: Semin Ibisevic myopic, buyandhold, dynamic, portfolio, optimization, simulation 26 0
03 Jan 2012 Diebold-Mariano Test Statistic Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation. Author: Semin Ibisevic diebold, mariano, test 39 3
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Comments and Ratings by Semin View all
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13 Apr 2012 Send Text Message to Cell Phone Send text message to cell phone or other mobile devices Author: Ke Feng

13 Apr 2012 Send Text Message to Cell Phone Send text message to cell phone or other mobile devices Author: Ke Feng

06 Apr 2012 Cointegration and Pairs Trading with Econometrics Toolbox Demo files from the webinar of same title. Author: Stuart Kozola

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06 Nov 2013 Get Geometric Location and Other Information Tracks down your geometric coordinates and other information on the base of the IP address Author: Semin Ibisevic John

I cannot get this working. I am trying to enter an IP address to find the geolocation, but the IP is not entered into the field at MaxMind. I would love to have this working, it would be very useful!

06 Sep 2013 Diebold-Mariano Test Statistic Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation. Author: Semin Ibisevic Mark

I believe there is one minor problem with the computation. You are using the "cov" function on the vectors d(1+i:T) and d(1:T-i) to compute the covariance at lag i. However, this method will normalize by T-i-1 (per the Matlab documentation). To be consistent with Newey-West and Diebold-Mariano you would want to normalize by T, i.e. assume zero covariance at 'unobserved' lags. I think something like gamma(i) = d(1+i:T)' * d(1:T-i) ./ T would be more appropriate.

29 May 2013 Diebold-Mariano Test Statistic Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation. Author: Semin Ibisevic Dmitrii

Further investigation showed that the formulas agree with the original formulas by Diabold-Mariano 1995. The problem is that in some instances the variance becomes negative and the value of the test statistics computed in the script is a complex number and expressions like T<-1.96 and T>1.96 are evaluated to false automatically without even generating a warning. This could be very misleading.

28 May 2013 Diebold-Mariano Test Statistic Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation. Author: Semin Ibisevic Dmitrii

The variance estimator for mean(d) is wrong. It gives negative values in some instances.

16 Aug 2012 Volume Weighted Average Price from Intra-Daily Data Retrieves the VWAP from intra-daily data of Google Finance Author: Semin Ibisevic Cheng, Jay

Thx for sharing. But I have an issues with period >15d. i.e., I tested your Example.m on 8/16/2012. It only showed up to Jul/25, regardless whether I set the variable, period, to '17d', '3w', '1m', or '1y'. Any thought? cdc42GTP@gmail.com THX again

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