Be notified of new releases
Create your free GitHub account today to subscribe to this repository for new releases and build software alongside 28 million developers.Sign up
- Unlike the previous version where the user has to provide numerical values for drifts and volatilities of the stochastic processes, we now allow the user to provide function handles. If you have endogenous variables where drifts and volatilities are numerically solved, you can create an interpolant by using
griddedInterpolant(which gives you a function handle) in MATLAB;
- We include a new example, adapted from Bansal and Yaron (2004). Simply run
BansalYaron.mto test it. If you would like to see how we compute shock elasticities in that example step by step, you can consult this live MATLAB script.
Shock Elasticities Toolbox (MATLAB)
- Compute shock elasticities for a flexible number of dimensions;
- Option to use Pardiso, a high performance computing tool, to solve the linear PDE in shock elasticities computations;
- Compute stationary density through simulations (in parallel processes by default).
The zip file contains a very detailed documentation and examples. As a quick start, complete sections 2.1 and 2.2 in the documentation. Afterwards, simply run
in MATLAB. It will compute shock elasticities for a one-dimensional model based on He and Krushnamurthy (2013).