Python is a powerful high level open source programming language, that is available for multiple platforms. It supports object oriented programming, and has recently become a serious alternative to low level compiled languages such as C. It is easy to learn and use, and is recognized for very...

In this paper we construct thirteen different types of composite indices by linear combination of indicator variables (with and without outliers/data corruption). Weights of different indicator variables are obtained by maximization of the sum of squared (and, alternatively, absolute)...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

QuantNet is an integrated web-based environment consisting of different types of statistics-related documents and program codes. Its goal is creating reproducibility and offering a platform for sharing validated knowledge native to the social web. To increase the information retrieval (IR)...

We attempt to replicate 67 papers published in 13 well-regarded economics journals using author-provided replication files that include both data and code. Some journals in our sample require data and code replication files, and other journals do not require such files. Aside from 6 papers that...

Correlation matrices have many applications, particularly in marketing and financial economics - such as in risk management, option pricing and to forecast demand for a group of products in order to realize savings by properly managing inventories, etc.Various methods have been proposed by...

In the extant literature a suggestion has been made to solve the nearest correlation matrix problem by a modified von Neumann approximation. In this paper it has been shown that obtaining the nearest positive semi-definite matrix from a given non-positive-semi-definite correlation matrix by such...

mewto is an R package that allows users to experiment with different thresholds for classification of prediction results in the case of binary classification problems and to interactively visualize model evaluation metrics, confusion matrices, the ROC and PR curves. It can also calculate the...

This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older...

Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...