Publications by C. Alberto Dorantes Dosamantes, Ph.D.

Workshop 7 Solution - Financial Programming

1 Introduction This is a possible solution to Workshop 7. Remember that it can be many different good solutions for this workshop. I will illustrate how I solved it. The best way to learn is compare your attempt for W7 with this solution, and identify what you missed and how you can improve your code. Improve your code not only by copying or repl...

9522 sym R (11277 sym/45 pcs) 3 tbl

Workshop 7 Solution - Financial Econometrics II

1 Spurious regression When we want to examine the relationship between two non-stationary variables by running a regression model, we have the risk to end up with a non-valid - spuious - regression. Before we understand why a regression model can be spurious, we start with and example using 2 real-world variables. Install the wbstats package usin...

10754 sym R (6656 sym/53 pcs) 15 img

Workshop 8 Solution - Financial Econometrics II

1 Introduction to ARCH model You have to read my note “Introducción a modelos ARCH”. An ARCH model is designed to model daily variance of financial instruments. We will start with the ARCH(1) model. Assume that \(Y_t\) is the daily continuously compounded return of a financial instrument, then we can model its variance as follows: \[ Y_{t}=...

18050 sym R (28428 sym/71 pcs) 10 img