Yahoo Finance Time Series Analysis Tool by Christian Pass

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

Yahoo Finance Time Series Analysis Tool

vardump.m Dump variables into a string by Ronald

Dump variables into one string (similar to var_dump from PHP) (variables, disp, output)

vardump(varargin)

Hurst Exponent Estimation by Vilen Abramov

the code uses R/S analysis to derive Hurst exponent (hurst, power law, risk weighted assets)

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

Historical Value At Risk by David Willingham

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

computeHistoricalVaR(returns,confidence_level,plot_flag)

examplehistvar.m

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

Estimating VaR (conditional copula ga..., var, guassian copula)

varargout...

cell2vars: Transform cell to vars by Renwen Lin

cell2vars: Transform cell's columns' to variables in workplace (data export, measurement, data import)

cell2vars(cellvar, newvarname)

cell2vars_d.m

Student VaR / CVaR by Kienitz Wetterau FinModelling

Student VaR and CVaR against Gaussian risk figures (var, cvar, student)

FMinusOne( x,n )

InverseCDF4(x)

NCVaR(x)

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 (ewma, exponentially weighte..., statistics)

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

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

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

Efficient Frontier using different risk return measures by Saurabh Yadav

Code for finding optimal portfolios and plotting efficient frontier for diff. risk return measures (efficient frontier, portfolio optimizatio..., var)

Sharpe( weights )

mnvarratio( weights )

Efficient_frontiers.m

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)

EWMA St.Dev. by Lorenzo Brancali

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

Y=EWMASTD(X,d)

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (treebagger, bond, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests by Alexandros Gabrielsen

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests (volatility loss funct..., var, valueatrisk)

VaRLR(fdata, VaR, alpha, position, options)

results =VFLF(st, ht, options)

fitparp function by Ali Najjar

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

varargout=fitparp(spec,r,s)

fitModelpp function by Ali Najjar

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

fitModelpp(spec, data, solver)

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

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

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

PortVaR by Flavio Bazzana

VaR for portfolio stocks (risk, value at risk, portvar)

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

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

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

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)

Introduction to Econometrics Toolbox by Maziar Motahari

The M-file for "Introduction to Econometrics Toolbox" webinar (econometrics, garch, var)

Introduction_To_Econometrics_Toolbox_Webinar.m

NaN Suite by Jan Gläscher

Descriptive Statistics for N-D matrices ignoring NaNs. (mean, sem, max)

nanmax(a,dim,b)

nanmean(x,dim)

nanmedian(x,dim)

6-pulse STATCOM by mehdi nouri

Compensate the VAR in the power system. (6pulse, compensator, control)

mehdi

writevar by Randy Poe

Read an array or structure and create a script that can recreate it. (structures, cell arrays, write)