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Martin Magris


Last seen: 5 months ago |  Active since 2018

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Submitted


Isolines (quantiles) of bivariate normal distribution
Calculates the elliptic isolines corresponding to quantiles of bivariate normal distribution

4 years ago | 1 download |

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Breusch-Pagan test
Breusch-Pagan test for heteroskedasticity in a linear regression model (original and Koenker's versions).

4 years ago | 4 downloads |

Submitted


Fast and essential linear regression
Essential, fast and efficient simple linear regression

4 years ago | 4 downloads |

Submitted


Unobservable Selection and Coefficient Stability
Implementation of: "Unobservable selection and coefficient stability: Theory and evidence.", Oster E, JBES 37.2 (2019)

4 years ago | 2 downloads |

Submitted


Compound Poisson distribution (CDF, PDF, random number)
CDF/PDF and random number generator for a compound Poisson distribution with jumps distributed according to iid gamma distributi...

4 years ago | 2 downloads |

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VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data

5 years ago | 1 download |

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Submitted


Lee Mykland nonparametric jump detection
Nonparametric jump detection method

5 years ago | 4 downloads |

Solved


Elapsed Time
Given two date strings d1 and d2 of the form yyyy/mm/dd HH:MM:SS (assume hours HH is in 24 hour mode), determine how much time, ...

5 years ago

Submitted


Inverse empirical cumulative distribution function
Quantile function or inverse-ECDF of some data-sample. Data is finite and the ECDF from which the inverse is taken is discontiuo...

5 years ago | 7 downloads |

Submitted


Log-likelihood of the Hawkes process
Log-likelihood of the univariate Hawkes process with exponential kernel of order one.

6 years ago | 2 downloads |

Submitted


COS method (Fang, Osterlee)
Evaluating PDF and CDF given the characteristic function via COS (Fourier-cosine) method

6 years ago | 3 downloads |

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Detrended fluctuation analysis (DFA)
Function and examples for running DFA

6 years ago | 11 downloads |

Question


Plot financial data continuously in time
<</matlabcentral/answers/uploaded_files/106754/example_commented.png>> Unfortunately couldn't find an existing topic on the f...

6 years ago | 2 answers | 0

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