In our previous post we showed a simplistic implementation of a logistic regression model in excel. In practice we need to be able to estimate a multivariate version of the model and also asses the quality of the model calibration. All the requirements make a spreadsheet implementation impractical and we need to rely on VBA. … More Logistic Regression in VBA
Today’s post is a second in a planned series about the use of Principal Component Analysis (PCA) to manage risk and trade. In a previous post we tried to provide an intuitive explanation behind the method and a way to implement PCA in excel using a free addin. Today we want to show a PCA … More Principal Component Analysis ~ PART II
We decided to write a series of posts on a very useful statistical technique called Principal Component Analysis (PCA). In the current post we give a brief explanation of the technique and its implementation in excel. In practice it is less important to know the computations behind PCA than it is to understand the intuition … More Principal Component Analysis in Excel ~ PART I
Hodrick Prescott (HP) filter is a method to decompose a time series into two components, a long-term trend and a residual. The residual is interpreted as a cyclical component. The formula is as follows: where y is the time series we are considering and g is the growth rate, while c is the cyclical part … More Hodrick Prescott Filter in Excel
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