Matlab Finance Code

Code for the “robust” loss functions in Patton (2008, forthcoming Journal of Econometrics)

This zip file contains Matlab code to replicate the empirical section in Patton (2008), on volatility forecast comparison using imperfect volatility proxies. The main program is called “robust_example_code.m”, which generates the figures and does the calculations. The data used in the paper is included. The function “robust_loss_1.m” is a function for the parametric family of “robust” loss functions proposed in the paper. Some helper functions are also included.

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