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updated almost 2 years 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 2 years ago

EWMA St.Dev. by Lorenzo Brancali

This code calculates the Exponentially Weighted Moving Average Standard Deviation (ewma, standard deviation, finance)

Y=EWMASTD(X,d)

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updated 2 years ago

Exponentially weighted covariance matrix by Tina Yener

Calculates exponentially weighted covariance matrix, correlation and volatilities. (exponentially weighte..., ewma, covariance)

ewma_covariance(data,lambda)

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updated 9 years ago

Simulation of stochastic processes and parameter estimation of 1-F interest rate models by Panagiotis Braimakis

Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB (finance, modeling, analysis)

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