Ivan Medovikov

Department of Economics
Brock University

Check back soon for more code.

MATLAB Code

Bank of America - Bank of New York VaR Example. MATLAB files and data used to generate value-at-risk results in Section 4.2 of Prokhorov, Panchenko, and Medovikov (2020).

Medovikov_Prokhorov_Panchenko_2020_Data.zip

Multivariate Hoeffding's Phi-Squared. MATLAB function that estimates nonparametric measure of association between several random variables of Gaißer, Ruppert & Schmid (2010).

multphi2.m | View on MATLAB Central

References

Gaißer, S., Ruppert, M., & Schmid, F. (2010). A multivariate version of Hoeffding’s Phi-Square. Journal of Multivariate Analysis, 101(10), 2571-2586.

Disclaimer

Please note that code comes with no warranty, express or implied. All code is free for academic and personal but not commercial use.

2020 Ivan Medovikov