Hi,Is there any mathematical formula or model exists to estimate default barrier using company's balance Sheet information ?

<t>Hi all,I am trying to test relationship between two time series with chow test. MATLAB code attached splits time series into different periods based on increments and regresses one against another. Ultimately we calculate F test on ratio of regression residuals. I feel the code has a bug. I shall...

Hi,I tested stationarity of residuals of index against tracking portfolio with ADF and PHILLIPS Perron tests, which both reject unit root null and accept stationarity. But KPSS test rejects trend stationarity and accepts unit null. I am bit confused on the test results. RegardsVK

to add to the previous post. In the OLS regress, the individual asset is tested for stationarity first and then tested for cointegration with the index.regardsVK

<t>Hi,One more question on Index Tracking...I was reading carol alexander - ISMA paper on "Cointegration and Asset allocation". It mentions that Optimum replicating portfolio is the one that give maximum stationarity in the residuals for a combination of best assets. It also mentions that in classic...

<t>Hi marine,Yes I did look at KPSS test. However the results are not conclusive with respect to the time series being trend stationary or difference stationary.It would be an better idea to indentify cointegrating time series first and perform OLS regression than performing ortho PCA on all the tim...

<t>Hi,In fact i have both these methods implemented. I am in favor of cointegrated ECM model.ECM model using johansen method to find number of co-integrating time series is extention of Engle-granger procedure to multivariate world. However I read in few papers that Engle-granger for two time series...

Hi All,I would like your opinion on the following.We can create an Index following portfolio with co-integration. It is well documented in public domain. Or we can use orthogonal regression to create a index tracking portfolio. Which one you feel would provide reliable results? RegardsVK

anyone would like to comment!

<t>Hi All,I am trying to test Orthogonal regression prescribed in Market Models by Carol Alexander. Process is to do PCA on normalized independent variables and regression on PCA vectors. I am able to get a good regression model fit with normalized independent variables. When it comes to transformin...

<t>Hi Guys,I am facing problem interfacing NEWMAT matrix lbrary to XLW. Your inputs are highly appreciated.I want to modify MJmatrices class to construct MJMatrix from a Vector //// MJmatrices.hnamespace xlw { class MJMatrix { public: explicit MJMatrix(unsigned long Rows_=0, unsigned long Cols_=0); ...

HiI am trying to incorporate matrix library into XLW. The Output from Matrix library is in the form of a matrix. Do i need to write a converter function to convert the O/P to MJMatrix in XLW?RegardsVK

MJ and Others,To extend it further, I have added a class to handle Date mm/dd/yyyy datatype. Could you pls guide me the modifications required to incorporate custom data type in the XLW.RegardsVK

Perfect ... MyArray did the job.... thanks again

Thanks mark..