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ons Using Stata, Working Paper 06-12, Department of 60 Economics, College of Business Administration, University of Central Florida, 2006 13 Kim Hartelius Henriksen, Volatility prediction and out-of-sample tests for Emerging Markets, Copenhagen Business School, 2011 14 Marco R Steenbergen, Maximum Likelihood Programming in Stata, University of North Carolina, Chapel Hill, August 2003 15 Mark B Garman and Michael J Klass, On the Estimation of Security Price Volatility from Historical Data, University of California, Berkeley 16 Michael Johannes, Nicholas Polson, Jonathan Stroud, Sequential Parameter Estimation in Stochastic Volatility Models with Jumps, 2006 17 Roelf Skypkens, Risk properties and parameters estimation on mean and reversion on mean reversion and GARCH model,University of South Africa, 2010 18 Roger Craine, Lars A Lochstoer, Knut Syrtveit, Estimation of a Stochastic-Volatility Jump-Diffusion Model, University of California at Berkeley, 2000 19 Yacine Aăt-Sahalia, Robert Kimmel, Maximum likelihood estimation of stochastic volatility models, Journal of Financial Economics 83 (2007) 413–452 20 Yi-Yu Liang, Demand Modeling withthe Geometric Brownian Motion Process, Technical Report NTU-IE-Chou-2003-T001 21 http://www.norges-bank.no/en/price-stability/exchange-rates/ 22 http://www.bankofcanada.ca/rates/exchange/10-year-converter/ 23 http://en.wikipedia.org/wiki/Stochastic_volatility 61 Phụ lục Stata Code VND/USD use "C:\Users\Windows 7\Desktop\VND-USD.dta", clear gen t=_n tsset t gen l=ln(S) gen r=D.l replace r=r*1000 sum r, detail (*Các biểu đồ*) line S t line r t kdensity r,norm gen r2=r^2 ac r ac r2 arch r, arch(1) garch(1) (*VND/USD MLE*) gen Q=10 program define vnus args lnf theta1 theta2 theta3 theta4 theta5 temvar q quietly gen double q=rn(Q) 62 quietly replace `lnf'=ln(rpoisson(`theta5')).5*ln(2*_pi)+ln(`theta2'^2+exp(q*`th > eta4'^2)-.5* (($ML_y1-`theta1'-q*`theta3')^2)/(`theta2'^2+q*`theta4'^2)) end ml model lf vnus (reg: r=) ml max (*NOK/GBP analysis*) use "C:\Users\Windows 7\Desktop\NOK GBP.dta", clear gen t=_n tsset t gen l=ln(S) gen r=D.l replace r=r*1000 sum r, detail (*Các biểu đồ*) line S t line r t kdensity r,norm gen r2=r^2 ac r ac r2 63 ... Markets, Copenhagen Business School, 2011 14 Marco R Steenbergen, Maximum Likelihood Programming in Stata, University of North Carolina, Chapel Hill, August 2003 15 Mark B Garman and Michael J... Price Volatility from Historical Data, University of California, Berkeley 16 Michael Johannes, Nicholas Polson, Jonathan Stroud, Sequential Parameter Estimation in Stochastic Volatility Models... Yi-Yu Liang, Demand Modeling withthe Geometric Brownian Motion Process, Technical Report NTU-IE-Chou-2003-T001 21 http://www.norges-bank.no/en/price-stability/exchange-rates/ 22 http://www.bankofcanada.ca/rates/exchange/10-year-converter/
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