contents.m

来自「统计工具软件」· M 代码 · 共 35 行

% Value at Risk.
%
% Data analisys.
%   rendimenti       - prices to returns.
%   semplicecorr     - correlation between risk factors and assets (normal method).
%   ewmacorr         - correlation between risk factors and assets (EWMA).
%
% VaR estimation.
%   deltavar         - delta-normal VaR.
%   simulvar         - hystorical simulation VaR.
%   montevar         - Monte Carlo VaR.
%
% Simulation.
%
%   deltaparametri   - deltavar estimation changing the parameters.
%   deltadati        - deltavar estimation changing the numbers of data.
%   simulparametri   - simulvar estimation changing the parameters.
%   simuldati        - simulvar estimation changing the numbers of data.
%   simuldatip       - simulvar estimation changing the numbers of data and of p.
%   montedati        - montevar estimation changing the numbers of data.
%
% Back testing.
%
%   deltaback        - backtesting for delta-normal VaR.
%   simulback        - baktesting for hystorical simulation VaR.
%   monteback        - backtesting for Monte Carlo VaR.
%   deltamedia       - average of delta-normal VaR.
%   simulmedia       - average of hystorical simulation VaR.
%   montemedia       - average of Monte Carlo VaR.
%
% Other functions.
%   normalestd       - standardized normal density function.
%   alfauna          - critical value for one test.
%   calcvar          - terminal interface for VaR calculation.