Software & Codes

Codes Used in Some of My Papers

I provide replication codes and illustrative scripts for several of my papers and theses.

Bachelor Dissertation (ARCH model and Black–Scholes)

• Matlab code used to analyze the posterior distribution of an ARCH model.
• Matlab code and data used in the empirical application of my bachelor thesis.

The goal is to draw from the posterior distribution of an ARCH model and incorporate the posterior volatility in the Black–Scholes model, using Mexican stock market index data.

Master Thesis and “Granger Causality and Unit Roots”

Mathematica and Matlab codes to illustrate and prove several theorems from my master thesis and from the paper “Granger causality and unit roots”.

• Code for Theorem 3.2 (Theorem 1 in the paper).
• Code for Theorem 3.3 (Theorem 2 in the paper).
• Matlab code (Theorem 1 in the paper).

“Polynomial Regressions and Nonsense Inference”

Matlab codes to replicate results from “Polynomial Regressions and Nonsense Inference”.

• Files to replicate Table 1 of the paper.
• Further codes to explore the paper in more depth.

“Bayesian Log-Periodic Model for Financial Crashes”

Matlab codes to replicate the results of “Bayesian log-periodic model for financial crashes”.

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Additional replication codes (in R, Matlab or Stata) are linked directly in the Publications page for each corresponding article.