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MrMarc

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17 years, 130 days
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These are questions asked by MrMarc

Gumbel Copula...

MrMarc 3163 Maple
January 19 2009
10 2

 

 

Fractional Brownian Motion...

MrMarc 3163 Maple
January 16 2009
12 2

 

Does anyone know how to simulate a Fractional Brownian Motion. I found some stuff on the internet

but I still dont know how this should be done....any suggestions?!

 

 

Using a Slider (component) to updata a v...

MrMarc 3163 Maple
January 16 2009
5 0

I have inserted a slider into my Maple workshet and in the edit box I typed:  Do(A=%Slider1);

and now I am simply calling the variable A by typing:  A;

but the variable is not updated. I have to set the slider value and then reexecute A in order to get

a updated value of A. but I want A to be updated automaticaly without having to reexecute it......

Gaussian Copula...

MrMarc 3163 Maple
January 10 2009
0 1

Does anyone know how to step-by-step set up a Gaussian Copula in Maple? 

I know how to simulate cross correlated random variables by using the Cholesky Decomposition but the requirement that the

correlation matrix must be positive define (all eigenvalues +) is such a pain! 

I know that copulas can easily be estimated in MATLAB but I have not seen one in Maple. Any ideas?

Help with Maximize function for GARCH(1,...

MrMarc 3163 Maple
package
January 09 2009
1 0

Hi,

I would like to find the optimal values of the parameters  [ w,  a ,  b ]  in a GARCH(1,1)

I however have some problems specifying the Maximize function in the Optimization package

due to all the individual loops.....Any suggestions?

 

I have attached the workshet and the data

 

Download 8342_GARCH-Yen Data Hull.xls
View file details

 

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