Toolboxes

A list of free Matlab toolboxes for Statistics and Financial Econometrics.

  • MFE toolbox by Kevin Sheppard
  • Econometrics Toolbox by James P. LeSage
    • LS, 2SLS, 3SLS, limited dependent variable, VAR, BVAR ECM estimation/forecasting, cointegration and lots of other stuff, over 350 functions.
    • The official page, toolbox and documentation.

A selection of functions and routines from Matlab users community (here you can find much more).

  • ARMAX-GARCH Toolbox by Alexandros Gabrielsen. It estimates, forecasts and simulates a large variety of ARMA and GARCH models.
  • MS Regress by Marcelo Perin. A Package for Markov Regime Switching Models.
  • ARFIMA simulations by Simone Fatichi. The code generally simulates an ARFIMA(p,d,q) model.
  • Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou. Functions to estimate copula GARCH and copula Vine models.
  • Risk and Asset Allocation by Attilio Meucci. Software for quantitative portfolio and risk management.
  • Copula toolbox for Matlab by Andrew Patton. It contains CDFs, PDFs, log-likelihoods and random number generators for many common bivariate copulas, including the Clayton, Gumbel, Normal, Student’s t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas.
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