Download Shareware and Freeware Software for Windows, Linux, Macintosh, PDA

line Home  |  About Us  |  Link To Us  |  FAQ  |  Contact

Serving Software Downloads in 976 Categories, Downloaded 29.614.461 Times

In sample Value at Risk and backtesting with the Pearson type IV distribution 1.0

  Date Added: August 08, 2013  |  Visits: 348

In sample Value at Risk and backtesting with the Pearson type IV distribution

Report Broken Link
Printer Friendly Version


Product Homepage
Download (18 downloads)



There are two issues with the Pearson type IV distribution: (I) the complex gamma function entering the normalization constant in the probability density function (pdf) and (II) the complex Gauss hypergeometric function entering the cumulative distribution function (cdf). For the complex gamma function we transcribe in Matlab code the C++ code by Heinrich. Since for several reasons the hypergeom function for complex arguments in Matlab is slow and accessible only in the last versions, for better dissemination we calculate the constants at the confidence integrals by numerical integration and inversion of the pdf. The Value at Risk backtesting criteria for now, are the same with the previous varin.m file. In our humble opinion this distribution is better than the skewed Student distribution used and it is only the first member of the Extended Pearson system of distributions. The user can change the Garch model at will. The code takes about 45 seconds to execute and we hope experienced programmers will optimize the file. The results will be presented at the Business & Economics Society International conference at Split, Croatia, July 6 - 9, 2011.

Requirements: No special requirements
Platforms: Matlab
Keyword: Backtesting Change Criteria Distributions Economics Extended Function Garch Humble Member Model Opinion Previous Skewed Society Student System Takes Varinm
Users rating: 0/10

License: Freeware Size: 10 KB
USER REVIEWS
More Reviews or Write Review


IN SAMPLE VALUE AT RISK AND BACKTESTING WITH THE PEARSON TYPE IV DISTRIBUTION RELATED
Music  -  GuitarGentaroFree 1.5
Guitar Simulator ( ) iGuitarHeroFree is a free edition of iGuitarHero. iGuitarHero of Product can play the guitar more freely. Functions such as effector, code generation, fret movement, fret size change, a multitrack recorder,bounce...
3.9 MB  
Libraries  -  Libopennet 0.9.9
Libopennet is a library that provides the function open_net() which accepts the same parameters as the open() system call, but the pathname argument can be an FTP or HTTP URL. Libopennet project allows you to open_net() files the same way you...
102.4 KB  
Scientific and Engineering  -  ECEF2LLA 4-27-2006 1.0
The function assumes the WGS84 model.Latitude is customary geodetic (not geocentric).Inputs may be scalars, vectors, or matrices of the same size and shape. Outputs will have that same size and shape.Usage[lat,lon,alt] = ecef2lla(x,y,z)lat =...
 
Development Tools  -  Simulation of Cascade PID Control and Model Predictive Control for a gas separation plant 1.0
In this demo, control object (plant) is gas separator. Control Performance of Cascade PID control and Model Predictive Control are compared .This demo shows following contents.[1] Plant modelingGoverning rules of the plant are assumed and modeled...
2.71 MB  
Education  -  Academic Competition Buzzer 2.0
The AC Buzzer and ACB Moderator function together to create a wireless six-team competition buzzer system that is perfect for primary and secondary educators. The easy setup, simple user interface, large buzzer surfaces, informative displays,...
2.7 MB  
Dial-up Networking Tools  -  Netwrix VMware Change Reporter 3.123.134
Change auditing is an important process of controlling the management of your virtual environment. Erroneous and unauthorized changes can cause unexpected failures and unplanned outages, and usually occur every day in organizations where many IT...
43.08 MB  
Games  -  Rubik Cube Game 1.1
Rubik Cube Game - MATLAB toy.File list:ChangePointer.m - function for change of mouse pointerCongr.m - function for creation figure with congratulationCreateNewGame.m - function for creation of new gameInitCube.m - function for initialization of...
10 KB  
Networking  -  Post Thumb Revisited 2.2.1.b
The plugin scan posts for images. Then, it can do the followings: * Loop display: show a thumbnail linked to the post. * Sidebar display: it can shows thumbnails from the most recent posts or thumbnails from random posts.All thumbnails are...
10 KB  
Libraries  -  Text::WikiFormat 0.79
Text::WikiFormat is a Perl module for translating Wiki formatted text into other formats. SYNOPSIS use Text::WikiFormat; my $html = Text::WikiFormat::format($raw); The original Wiki web site had a very simple interface to edit and to add...
28.67 KB  
Dial-up Networking Tools  -  Netwrix Exchange Change Reporter 7.508.873
E-mail is a business-critical system for all organizations. Unauthorized and accidental changes to e-mail server configurations, permissions, mailboxes, and other object can impact e-mail delivery, expose sensitive data and create security issues....
6.26 MB  
NEW DOWNLOADS IN SCRIPTS, DEVELOPMENT TOOLS
Scripts  -  Free Ecommerce website creator 1.2
Free Ecommerce website creator is a free PHP shop creating script. This allows you to put a online shop on your own website. Create your own free ecommerce website for Your Business. Create an online shop using easyGUI online shop creator. The...
1.44 KB  
Scripts  -  MochiGames PHP Script ZDR 1.00
MochiGames PHP Script ZDR is web site, ready for use, for flash games. These flash games are downloaded automatically by "MochiGames PHP Script ZDR" from MochiGames media. The use of the games is free, you can use your own Mochi Publisher ID and...
368.54 KB  
Scripts  -  Php Chat 2.0
Add a free php site, single sign-on and multiple skins, 100% free 1. Server Modes: The chat server has paid mode and free mode. If the free chat mode, a free chat room will be assigned to your website with your domain as the room name. 2....
938.87 KB  
Scripts  -  Nibbleblog 3.0.1
Nibbleblog it's a powerful engine for creation and manipulation of BLOG's completely free. Very simple to install and configure (Only 1 step). The database used is based on XML files and this way it is not necessary to use MySQL or similar DBMS....
371.09 KB  
Scripts  -  PHP File Manager | CloudOsys 2.9b8
CloudOsys is a PHP file manager, a tool that allows your visitors upload files such as media content directly to your website. Your visitors will upload files directly to your website, where they can share and comment on them. Through cloud...
1.41 MB  
Development Tools  -  VMP Viewer 1.0
This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.
10 KB  
Development Tools  -  7-Zip for Script 4.42
7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...
624.64 KB  
Development Tools  -  PHP Docbook Displayer for Scripts 1.0b
PHP Docbook Displayer provides XSL and CSS stylesheets, and PHP scripts, to generate easily and dynamically websites from Docbook files.It aims at simplifying to the max the web publication process : simply drop the docbook file under the site root !
102.4 KB  
Development Tools  -  WP Translate 1.0
This simple language translation plugin allows your users to quickly translate your webpages, through a widget on your blog.You have the option to select the title of the Widget, which will be displayed above the language translation form. Users...
10 KB  
Development Tools  -  save2word 1.0
A simple function to copy figure from MATLAB into MS Word automatically. It is a modification of saveppt (a function in File exchange) that save figures to MS Powerpoint.
10 KB