Tsfit
WebFeb 23, 2024 · TSfit_volatility (parameters, futures, futures_TTM, dt) Arguments. parameters: vector. A named vector of parameters of an N-factor model. Function NFCP_parameters is recommended. futures: matrix. Historical observes futures price data. WebMar 18, 2024 · TSfit_volatility returns a matrix with the theoretical and empirical volatility term structure of futures returns, with the number of columns of this matrix coinciding …
Tsfit
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WebMar 14, 2024 · Introduction. PLS regression, the result of the NIPALS algorithm initially developed by Wold (Wold, 1966) 1 and explained in detail by Tenenhaus (Tenenhaus, 1998) 2, has already been successfully extended to generalized linear models by Bastien et al. (Bastien, 2005) 3 and to Cox models by Bastien (Bastien 2008) 4 and (Bastien 2015) 5. … WebTisfit has one repository available. Follow their code on GitHub.
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