Publications by Montserrat Guzmán
Workshop8, Financial Econometrics2
1 Simulating ARCH(1) Now you have to simulate 2 ARCH(1) models using 500 periods (days) with the following specifications: For model 1 use β0=0, α0=1, and α1=0.90. You can do this simulation in R as follows: alpha0=1 alpha1= 0.9 B0= 0 I create empty vectors for the 500 variances and shocks: I will simulate 2-years of daily returns of a finan...
9219 sym R (24243 sym/79 pcs) 6 img
Workshop 9, Computational Finance
1 Introduction Open the templateW9.xlsx in Excel. This file has the specifications of the inputs for your program. The “parameters” Sheet has the specification of 3 different datasets. For each dataset specification, you have the following inputs: Start and end data to collect historical prices of stocks and the market The frequency of the da...
2710 sym R (5814 sym/37 pcs)
Workshop 7, Computational Finance
library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overwritten by 'quantmod': ## method from ## as.zoo.data.frame...
3720 sym R (23386 sym/134 pcs)
Workshop 5, Computational Finance
1 Introduction library(readxl) library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overwritten by 'quantmod': ## method ...
10618 sym R (14985 sym/82 pcs) 3 img
Workshop 4, Computational Finance
1 Data management and visualization for financial portfolios Topics covered - Data Management such as return calculation - Data visualization - Estimate expected stock return $ expected portfolio return and risk 1.1 Data Management of financial data 1.1.1 Data collection library(quantmod) ## Loading required package: xts ## Loading required pac...
5722 sym R (251882 sym/95 pcs) 9 img
Workshop 3, Computational Finance
1 Workshop 2- Challenge 1 Solution Regarding Challenge 1 of previous workshop, you have to find a peer and share your attempt. Improve your attempt with this feedback. If you solved the problem with an analytic formula, change the solution writing a loop. Now modify your solution and write your code as a function. As any function, you need inputs...
5019 sym R (3539 sym/24 pcs)
Workshop,. Computational Finance
In this workshop we will learn about a) the List data structure, b) the xts class, c) subsetting dataset, and d) control-flow commands such as conditionals and loops. 1 Data Structure 1.1 Lists List can store elements of DIFFERENT classes. Each element of a list can be of any object class such as data frames, numeric vectors, matrices or even l...
13544 sym R (19901 sym/104 pcs)
Workshop 6, Computational Finance
1 Data management 1.1 Data collection #install.packages("IntroCompFinR", repos = "http://R-Forge.R-project.org") library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required pa...
3421 sym R (11687 sym/81 pcs) 8 img