Dear Alan,Thank you for your suggestion. However my boss instructed me to find some way to link transition matrix with underlying commodity prices. Any other idea?Regards,

Dear EdeS,You said you have ARIMA code in C. Can you give me a copy of that? I am also looking for same for long time. My address is arun.kumar.saha@gmail.comthanx

<t>Suppose an investor in country A bought N unit of asset in country B at rate S in local currency. Therefore it's investment in country B is N*S*E where E is the exchange rate. Now I calculated 1 day VaR for this investment. Now I want to see what percentage of this VaR is due to asset and what pe...

<t>Dear all Statisticians, Please forgive me if my question is too trivial. I know a process z[t] is said to be a Weiner Process if dz[t] ~ N(0, dt). But if dz[t] follows some other distribution like, T-distribution. Skew-Normal distribution etc, then how this process should be called? Thanks and re...

Dear all , Please forgive me if my question is too trivial. I know a process z[t] is said to be a Weiner Process if dz[t] ~ N(0, dt). But if dz[t] follows some other distribution like, T-distribution. Skew-Normal distribution etc, then how this process should be called? Thanks and regards,

Dear all,Can any one please explain me why any stock price is modeled like this?dS/S = mu*dt + sigma*dw[t], where w[t] is weiner/brownian processThanks and regards,Arun

Dear all,Can any one please explain me why any stock price is modeled like this?dS/S = m*dt + sigma*dw[t], where w[t] is weiner/brownian processThanks and regards,Arun

Dear all,Can any one please explain me why any stock price is modeled like this?dS/S = m*dt + sigma*dw[t], where w[t] is weiner/brownian processThanks and regards,Arun