|
|
Estimation and Simulation of ACD models in MatLab 1.0 File ID: 79164 |
|---|
|
| Estimation and Simulation of ACD models in MatLab 1.0 License: Freeware File Size: 30.7 KB Downloads: 70
| Submit Rating: |
|
|
|
Estimation and Simulation of ACD models in MatLab 1.0 Description |
|---|
Description: This submission includes functions and scripts for the estimation and simulation of ACD (autoregressive conditional duration) models.
The zip file includes:
- Scripts and functions for Estimation of an ACD(q,p) model with exponential or weibull distribution
- Scripts and functions for Simulation of an ACD(q,p) model with exponential or weibull distribution
- Scripts for cool plots/movies of weibull, burr and generalized gamma distributions.
- Scripts and functions for visualizing the log likelihood space of the model (the figure showed at file submission)
References:
ENGLE, R, RUSSEL. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, Vol. 66, N. 5, pp 1127-1162, 1998.
DUFOUR, A., ENGLE, R. The ACD Model: Predictability of the Time between Consecutive Trades. ICMA d-deOCt Discussion Papers in Finance, n. 5, 2000. License: Freeware Related: conditional, duration, Model, irregularly, autoregressive, russel, figure, showed, references, engle, spaced, Transaction, trades, Discussion, Papers, Finance, consecutive, econometrica O/S:BSD, Linux, Solaris, Mac OS X File Size: 30.7 KB Downloads: 70
|
|
| More Similar Code |
|---|
These files allow for the simulation of hybrid systems in Matlab/Simulink. This version includes examples of individual and interconnected hybrid systems where multiple hybrid systems are connected and interact. Also included is a "lite simulator" which allows for faster simulation. The Simulink implementation of the hybrid simulator includes five basic blocks that define the dynamics of a hybrid system. These include a flow map,...
DEVSclipse extends the DEVS/OSGi Simulation Framework with Eclipse IDE extensions for the implementation and simulation of DEVS models.
Boxing and Unboxing of Value Types in C#: What You Need to Know? is a web based tutorial in which author elaborates the concepts of boxing and unboxing value types. The author also explains the problem that occur while programming boxing and...
Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest...
Matlab worksheets for the synthesis and simulation of 2nd, 3rd, and 4th order systems using passive loop filters. The method employed is derived from Dean Banerjee's Book "PLL Performance, Simulation, and Design" 4th Edition.
Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.
1. Introduction
Enough debate has been devoted from time to time to the luck of "go to" in Matlab.
Ourselves being somewhat devoted followers of structured programming, we rarely use
it in our FORTRAN applications...
The main objective of the tool is to provide better program support for design and simulation of nonlinear control systems in MATLAB/Simulink environment. It is encapsulated as a Simulink library, although besides function blocks designed for...
Analysis and simulation of orbits in the circular-restricted three-body problem (CRTBP), where primary and secondary bodies move in circular orbits about the common center of mass, and effect of gravitational attraction of the smallest body are...
The DEVS/OSGi Simulation Framework can be used for the implementation and simulation of discrete event models based on the Discrete Event System Specification (DEVS). |
| User Review for Estimation and Simulation of ACD models in MatLab |
|
