<t>Dear allneed some references about Bayesian var models. I have already found some papers just to get in touch with this subject but I don't know yet the way in which they are implemented. It has also been told to me that I need R.A.T.S. to estimate these models, is this true? does someone know an...

<t>My feeling, apart from silly labels, is that quantitative finance has lost its grip to reality.The world is made by men who act in an asymmetric environment and equations cannot describe their behaviour. A better mathematician could find a solution to a problem, a good developer could solve it qu...

<t>Well I guess that if you take a look at matlab help files you would find all the information you need....(it's available even on mathworks site if you don't have it).Anyway if you are too lazy for that you should do something like that:state=(any integer you choose as seed) i.e. state=2340;rand=(...

<r>I have done some research on inflation indexed bonds (american and french) and I have a big bibliography i could send you if you are interested (my paper is in italian, I guess it's not useful for you).In the meantime you can go to: <URL url="http://economics.sbs.ohio-state.edu/jhm/ts/ts.htmlWher...

<t>SirTry thinking....if you use a normal distribution to simulate the movements of interest rates you can get negative values. C.I.R. assumed that interest rates follow a non centered chi square process.At the same time mean reverting process means that nominal interest rates tend to a long run ave...

<t>in order to be able to distinct between equation and equation perhaps could be useful a good background in economics....Sincerely I prefer Varian even if it's a little bit old and doesn't cover extensively such issues like asymmetric info (or you quant thinks that our world is so perfect that we ...

<t>Dear SonderupEffectively there are so many ways to estimate the market price of risk that I guess you'll never find a benchmark.If you use a pricing model in which there is a parameter representing the price of risk your results will depend upon the choice of the model and the methodology you use...

Ever tried a bootstrap on the sample to get confidence intervals for the mean based on its empirical distribution?Don't know if it works....

<r>you can try <URL url="http://www.economagic.com">www.economagic.com</URL> there you can find series of T-bills up to 1981 for free, unluckily for the others you have to pay............for a deeper search you can try: <URL url="http://www.internationaleconomics.net/data.htmlbut">http://www.interna...

<t>thank you you are very kind.The model I'am working with is one factor CIR model in its extended form (four parameters alfa, gamma, ro, pi).Time series are US interest rates: LIBOR and SWAP. I don't think that I have tried to multiply for 12^(1/2) but resulting values were useless.what I guess is ...

<t>Dear AhpoHave you tried a multi start approach to solve this equation?In other words your guess x0 is not necessarily the one which guarantees to you an absolute minimum.to overcome this problem typical of non linear function optimization you should try to have many initial guesses x0 and see the...

<t>Hello Guysany suggestion about how to change a monthly parameter into an annual one?this is the problemin a linear regression the base of the parameter is the same of the series of data...so if I have monthly data I will obtain monthly parameters.But if I want to go from monthly to annual paramet...

<t>Everyone knows everything,even a leaf falling down has its underlying stochastic process,but I only know that I can't know what a trader knows.If I find suh a book I will burn it without reading it because for a stupid question I deserve a silly punishment inflicted by me, a sort of harakiri (boo...

Thank you MatthewI have finally understood how to handle the optimization toolbox.The problem was that I have made a lot of confusion between symbolic calculus and optimization methods. But now I hope to be over this set of problems.

QuoteOriginally posted by: bibifricotinWarez,to send the matrix "IV" to the worksheet result, the command line is:DLMWRITE(result.xls',IV,'\t');thank you bibifricotin