Assets 2

Updates

  • We fixed a bug where the corners were adjusted incorrectly.

@jhuangsa jhuangsa released this Mar 22, 2018 · 2 commits to master since this release

Assets 2

Updates

  • 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.m to 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.

@jhuangsa jhuangsa released this Jan 19, 2018 · 4 commits to master since this release

Assets 2

Shock Elasticities Toolbox (MATLAB)

Functionalities include

  • 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).

Installation

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

HeKrushnamurthy

in MATLAB. It will compute shock elasticities for a one-dimensional model based on He and Krushnamurthy (2013).