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The code provides estimation and plot of IBM, Amazon, JPM returns, normalization of asset returns, and Kernel density estimation.
The code provides estimation of IBM, Amazon, JPM returns, normalization of asset returns, Kernel density estimation, and Quantile of normal distribution.
Construction of Cash-or-Nothing call delta
Test of cointegration in crude oil prices
This code demonstrates the difference between exact and conditional likelihood estimation in small sample analysis of monthly log returns of IBM and KO stocks for sample period of 2001-2011 and 132 observations.
Principal Component Analysis is the method to find a linear combination of the original variables with maximum variance to extract most information from data.
The code lets you get a QQ plot for Daily returns of IBM observations from Jan 1 2005 till Dec 31 2019
Calculation of expected return of stock price S(t) based on randomly generated paths.
The code produces Stock price model in a discrete time line and Running sum-of-square returns
In the following R code I used packages like "MTS", "urca", "fUnitRoots" to conduct ADF test and Phillips Perron Test on 4-mariate financial data.
This code lets you conduct the following commands: VAR model creation, simplification, checking, prediction, Impulse Response Function, Granger Causality.
The code lets you create, plot, estimate Vector Error Correction Models on FANG stocks.
This code lets you conduct the following commands: Lag order specification, VMA model creation, and Exact Likelihood Estimation on financial data.
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