As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution , define random variable . Then Kendall's cumulative function is
Genest and Rivest (1993) intr...

Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define
the so-...

Consider a time series, generated using
set.seed(1)
E=rnorm(240)
X=rep(NA,240)
rho=0.8
X=0
for(t in 2:240){X=rho*X+E}
The idea is to assume that an autoregressive model can be considered, but we don't know the value of the parameter. ...

Another post about the R-squared coefficient, and about why, after some years teaching econometrics, I still hate when students ask questions about it. Usually, it starts with "I have a _____ R-squared... isn't it too low ?" Please, feel free to fi...

Consider a (stationary) autoregressive process, say of order 2,
for some white noise with variance . Here is a code to generate such a process,
> phi1=.5
> phi2=-.4
> sigma=1.5
> set.seed(1)
> n=240
> WN=rnorm(n,sd=sigma)
> ...

With Ewen (aka @3wen), not only we have been playing on Twitter this month, we have also been working on kernel estimation for densities of spatial processes. Actually, it is only a part of what he was working on, but that part on kernel estimation...

Once again, I (re)discovered last week at the Rmetrics conference that old toolds can be extremely interesting to illustrate complex ideas, like uncertainty in fnancial markets, and stock prices. For instance a 99.5% quantile: we look for the scena...

This week, at the Rmetrics conference, there has been an interesting discussion about heuristic optimization. The starting point was simple: in complex optimization problems (here
we mean with a lot of local maxima, for instance), we do not ne...

I will be giving a short course in Switzerland next week, at the 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering organized by ETH Zürich, https://www.rmetrics.org/. The long...

I am a big fan of trees. It is a very nice way to see how financial pricing works, for derivatives. An with a matrix-based language (R for instance), it is extremely simple to compute almost everything. Even multiple assets options. Let us see how ...