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<!DOCTYPE html> | |
<html> | |
<meta name="viewport" content="width=device-width"> | |
<head> | |
<script type="text/javascript" src="http://d3js.org/d3.v3.js"></script> | |
<script type="text/javascript" src="http://cdn.mathjax.org/mathjax/2.1-latest/MathJax.js?config=TeX-AMS-MML_SVG-full"></script> | |
<style type="text/css"> | |
body { | |
font: 12px serif; |
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<!DOCTYPE html> | |
<html> | |
<meta name="viewport" content="width=device-width"> | |
<head> | |
<script type="text/javascript" src="http://d3js.org/d3.v3.js"></script> | |
<style type="text/css"> | |
svg { font: 12px serif; } |
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## Prep workspace | |
rm(list=ls()) | |
library(foreign) | |
library(grid) | |
library(plyr) | |
library(ggplot2) | |
library(tikzDevice) | |
library(reshape) | |
library(vars) | |
library(scales) |
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########################################################################### | |
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## @purpose: Estimate corrected lambda in simulated data. | |
## ------------------------------------------------------------------------ | |
## @author: Alex Chinco | |
## @date: 24-JAN-2016 | |
########################################################################### | |
########################################################################### | |
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########################################################################### | |
########################################################################### | |
## @purpose: Plot supply constraint imposed by investors purchases. | |
## ------------------------------------------------------------------------ | |
## @author: Alex Chinco | |
## @date: 11-JUN-2016 | |
########################################################################### | |
########################################################################### | |
########################################################################### |
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########################################################################### | |
########################################################################### | |
## @purpose: Verify that the wavelet-variance estimator picks up traders' | |
## investment horizons in simulated data. | |
## ------------------------------------------------------------------------ | |
## @author: Alex Chinco | |
## @date: 12-JUL-2016 | |
########################################################################### | |
########################################################################### |
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## ########################################################################################################################## | |
## ########################################################################################################################## | |
## @purpose: Create plots to show intuition behind the bayesian lasso in park and casella (2008). | |
## -------------------------------------------------------------------------------------------------------------------------- | |
## @author: Alex Chinco | |
## @date: 24-SEP-2016 | |
## ########################################################################################################################## | |
## ########################################################################################################################## | |