monyakenes's repositories
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.
Running-sum-of-square-returns
The code produces Stock price model in a discrete time line and Running sum-of-square returns
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
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.
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.
VMA-model-construction
This code lets you conduct the following commands: Lag order specification, VMA model creation, and Exact Likelihood Estimation on financial data.