ewmacorr.m

统计工具软件

function [delta,dev,cor,C] = ewmacorr(DX,DR,legame,lambda)

%EWMACORR	correlation between risk factors and assets (EWMA).
%
%	[delta,dev,cor,C] = ewmacorr(DX,DR,legame,lambda) calculates the standard
%   deviations of risk factors and the correlation matrix with exponential
%   ponderation of data with lambda value. Delta coefficients are
%   calculated whitout ponderation. It needs the DX matrix of assets
%   yields, the DR matrix of risk factors yields.
%   The vector legame set the relations between assets and risk factors.
%   Given 2 risk factors and 4 assets the vector (1 1 1 2) means that the
%   first three assets are related with the first risk factors, the fourth
%   asset with the second risk factor.
%	All data must be in column.
%
%	See RENDIMENTI
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]


% calculation of the correlation matrix and the standard deviations
% of risk factors with null average

[n,m] = size(DR);
for l=1:n
	la(l)=lambda^(n-l);
end
for f=1:m
	LA(:,f)=la';
end
R2 = (DR.*LA)'*DR;
C = (1-lambda).*R2;
dev = sqrt(diag(C));
cor = C./(dev*dev');

% calculation of delta coefficients

n = size(DX,2);
for i=1:n
	h = legame(i);
	p = polyfit(DR(:,h),DX(:,i),1);
	delta(i) = p(1);
end
delta = delta';