R code: Range-Based Volatility Estimator

This post uses TTR R package to calculate various range-based volatility estimators such as Parkinson (1980), Garman and Klass (1989) and so on.

Theil mixed estimator

This post deals with the Theil mixed estimator which uses the prior information as well as the sample information.

Generalized Least Squares (GLS) estimator

This post deals with the generalized least squares (GLS) estimator Since when deriving the Black-Litterman (BL) model, the Theil mixed estimator is used, which is a kind of GLS.

Diebold-Yilmaz Spillover Index using R package

This post explains how to use Spillover R package to calculate Diebold-Yilmaz spillover index. It measures a return or volatility spillover across asset classes and also a time series of rolling spillover index for taking time-varying spillovers into account.

SAS : how to set combined group code and concatenated group name

This post shows a SAS code to set 1) combined group number and code and 2) concatenated group name for group-by estimations.

Excel : Scan Numeric Data From a Time Series Plot Image

This post introduces a very nice scanning excel tool for scanning numerical values approximately from a plot image. We sometimes encounter the case when some academic papers show a figure plotting data which is hard to find. In this case, I think this might be useful.

SAS : Repeated Estimation of Stepwise Regressions by Group

This post presents a SAS code for estimating regression models by group with a stepwise variable selection.

SAS : Repeated Estimation of Regressions by Group

This post presents a SAS code for estimating regression models by group. The number of group is not small that multiple estimation using a do-loop is convenient. In this process, each regression model name is set to each group name.

Nelson-Siegel-Svensson Yield Curve model using R code

This post introduces Nelson-Siegel-Svensson (NSS) yield curve model which is an extension of Nelson-Siegel (NS) model with an additional curvature factor. It aims to fit longer term maturities well.

Non-linear Optimization by using constrOptim.nl R function

This post shows how to use constrOptim.nl() R function to solve non-linear optimization problem with or without equality or inequality constraints. Nelson-Siegel yield curve model is used as an target example. Its calculation time is faster than nloptr() function.