MFE MATLAB

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This page contains files required for the MATLAB companion course that runs along side Financial Econometrics. Solutions will be posted after the class that covers the problem has occurred. Solutions are available both as MATLAB Live Scripts, which provide an integrated view of code, text and mathematics and generic m-file scripts. Live Scripts are only usable in recent versions of MATLAB.

MATLAB Notes

This set of notes is a detailed introduction of using MATLAB and covers virtually all aspects required to implement new models in MATLAB. It assumes no knowledge of MATLAB and coverall everything required to complete econometic and statistical analysis in MATLAB

MATLAB Notes for Econometric and Statistical Analysis Pdf small icon.png
MATLAB Notes for Econometric and Statistical Analysis Data Zip new.png

Introduction

MATLAB Introduction Course Pdf small icon.png
MATLAB Introduction Course Data Zip new.png

Introduction Solutions

MATLAB Live Script (mlx) MATLAB Script (m)
Importing Data into MATLAB Matlablive small icon.png Importing Data into MATLAB Matlab small icon.png
Using functions Matlablive small icon.png Using functions Matlab small icon.png
Accessing elements in matrices Matlablive small icon.png Accessing elements in matrices Matlab small icon.png
Program flow Matlablive small icon.png Program flow Matlab small icon.png
Logical statements Matlablive small icon.png Logical statements Matlab small icon.png
Tables Matlablive small icon.png Tables Matlab small icon.png
Graphics Matlablive small icon.png Graphics Matlab small icon.png


Companion Course

MATLAB Companion Course (Complete) Pdf small icon.png

Michaelmas Solutions

Raw Data

Solutions

Data and Simulation
Estimation and Inference
Linear Regression

Support Files


Hilary Solutions

Data

ARMA Models

ARCH Models

Value-at-Risk

Value-at-Risk using Filtered Historical Simulation Matlab small icon.png

Vector Autoregressions

Helper Function

Data Set Construction

Compute Month End Prices Matlab small icon.png

Expectations

Lognormal Quadrature Target Matlab small icon.png
Expected Utility Matlab small icon.png

Maximum Likelihood

Standardized T Log-likelihood (degree of freedom only) Matlab small icon.png
Standardized T Log-likelihood for unconstrained optimization Matlab small icon.png
Standardized T Log-likelihood with mean and variance for unconstrained optimization Matlab small icon.png
Probit Log-likelihood Matlab small icon.png
OLS Function Matlab small icon.png

Data Files (Raw)

Raw Data Files (Zipped) Zip new.png

Data Files (mat)

Hilary

S&P 500 (FRED) Matlab small icon.png
USD/EUR Rate (FRED) Matlab small icon.png
Core CPI (FRED) Matlab small icon.png
Term Premium (FRED) Matlab small icon.png
Default Premium (FRED) Matlab small icon.png
Government yields and GDF Deflator Data Matlab small icon.png
CAY cointegration data Matlab small icon.png

Michaelmas

Equity Index Data

S&P 500 and FTSE 100 data Matlab small icon.png

Ken French Data

Ken French's Data Matlab small icon.png

FX Rates

GBP-USD Exchange Rate Matlab small icon.png
EUR-USD Exchange Rate Matlab small icon.png
AUD-USD Exchange Rate Matlab small icon.png
JPY-USD Exchange Rate Matlab small icon.png