The function "robust_loss_1.m" is a function for the parametricįamily of "robust" loss functions proposed in the paper. Generates the figures and does the calculations. The main program is called "robust_example_code.m", which (2011), on volatility forecast comparison using imperfect volatility Replicate the empirical section in Patton 6.Ĭode for the "robust" loss functions in Patton (2011, Journal of Econometrics) In Stock Returns: Statistical Tests and Economic Evaluation, Review of Financial Studies, 20, 1547-1581. Recently proposed by Hong, Tu and Zhou (2003) is also included.īruno, 2001, Extreme Correlation of International Equity Markets, J ournal of Finance, 56, 649-676.Īng, Andrew, and Chen, Joseph, 2002, AsymmetricĬorrelations of Equity Portfolios, Journal Code for the test that the exceedence correlation plot is symmetric This zip file contains code to compute theĮxceedence correlations used by Longin and Solnik (2001) and Ang and Chen Politis, Dimitris N., and White, Halbert, 2004, Automatic Block-Length Selection for theĪutomatic Block-Length Selection for the Dependent Bootstrap, EconometricĬode for computing and testing "exceedence correlations" (Thisįunction is part of the econometrics toolbox for Matlab (saved as a “txt” file) which is called in my code. Revision: estimate of optimal block length for the stationary bootstrapĬorrected using recent paper by Nordman (Annals of Statistics, forthcoming). Alternatively, if you install R and the “np” packageyou will have access to the function “b.star”.Ģ6aug03: updated with suggestions from Kevin Sheppard. Is available here, and a PDF help file is here. R code for this procedure, written by Jeff Racine and Chris Parmeter The asymptotic variance of the mean of dependent data, given a sample from a Optimal block size for bootstrap methods (stationary or circular) of estimating M-file (saved as a “txt” file) returns an estimate of the Random draws from the skewed t distribution.Īutoregressive Conditional Density Estimation, International EconomicĬode for Politis and White's (2004) automatic block-length selection procedure. The GARCH toolbox can be foundĬode for Hansen's (1994) skewed t distributionįunctions: the pdf, cdf, log-likelihood, inverse cdf and a function to generate Some of my programs call some of Kevin's functions, 2.įunctions relating to estimating and simulating both univariate and It must be installed before my code will work. James LeSage's Econometrics Toolbox for Matlab What ever you want with it, including make money by selling it. If youįind any mistakes or bugs in the code please let me know.īSD license, which means that you can do pretty much Written during the course of my research. This page contains some of the Matlab code I've
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