Description: Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
To Search:
File list (Check if you may need any files):
Matlab\01RandomWalk\Empirical\db_Equities.mat
......\............\.........\IIDAnalysis.m
......\............\.........\S_Equities.m
......\............\.........\TwoDimEllipsoid.m
......\............\Theory\IG.m
......\............\......\JumpDiffusionKou.m
......\............\......\JumpDiffusionMerton.m
......\............\......\NIG.m
......\............\......\S_LevyProcesses.m
......\............\......\Schout2ConTank.m
......\............\......\VG.m
......\.2Autocorrelation\DB_SwapParRates.mat
......\.................\FitOU.m
......\.................\S_MAIN.m
......\.3LongMemory\Empirical\AnalyzePersistence.m
......\............\.........\AnalyzeVarianceAggregation.m
......\............\.........\DB_SwapParRates.mat
......\............\.........\FilterJumps.m
......\............\.........\PlotAggregationVariance.m
......\............\.........\PlotSeries.m
......\............\.........\S_AnalyzeSingleRate.m
......\............\Theory\ffgn.m
......\............\......\S_FractionalBM.m
......\.4VolatilityClustering\Empirical\DB_IBM.mat
......\......................\.........\IIDAnalysis.m
......\......................\.........\S_VolClustering.m
......\......................\.........\TwoDimEllipsoid.m
......\......................\Theory\GARCH\S_GARCH.m
......\......................\......\StochasticVol\S_Heston.m
......\......................\......\.ubordination\S_SubordinationCIR.m
......\ReadMe.txt
license.txt
Download