monyakenes Goto Github PK
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monyakenes's Projects
asset-price-charts
The code provides estimation and plot of IBM, Amazon, JPM returns, normalization of asset returns, and Kernel density estimation.
asset-price-tests
The code provides estimation of IBM, Amazon, JPM returns, normalization of asset returns, Kernel density estimation, and Quantile of normal distribution.
cash-or-nothing-call-delta
Construction of Cash-or-Nothing call delta
crude-oil-cointegration
Test of cointegration in crude oil prices
exact-likelihood-estimation-vs-conditional-likelihood-estimation
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.
image-compression-with-pca
Principal Component Analysis is the method to find a linear combination of the original variables with maximum variance to extract most information from data.
qq-plot-for-daily-returns-of-ibm-observations
The code lets you get a QQ plot for Daily returns of IBM observations from Jan 1 2005 till Dec 31 2019
random-paths-generation
Calculation of expected return of stock price S(t) based on randomly generated paths.
running-sum-of-square-returns
The code produces Stock price model in a discrete time line and Running sum-of-square returns
stationarity-tests
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.
var-model-construction
This code lets you conduct the following commands: VAR model creation, simplification, checking, prediction, Impulse Response Function, Granger Causality.
vecm-
The code lets you create, plot, estimate Vector Error Correction Models on FANG stocks.
vma-model-construction
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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