ASREG: A powerful package for regressions in Stata
asreg is a Stata program, written by Dr. Attaullah Shah. The program is available for free and can be downloaded from SSC by typing the following on the Stata command window: ssc install asreg asreg was primarily written for rolling/moving / sliding window regressions. However, with the passage of time, several useful ideas were [...]
Log vs simple returns: Examples and comparisons
MS Excel Example [Download Example] In the following table, we have data from 1/1/2010 to 1/7/2010. The first column has firm id; the second column has date; the third column has stock prices. id date prices Simple\; ri Log\; ri ri+1 1 [...]
Stata Dates: Conversion from one format to another
Case 1: From String to Stata format This blog post discusses the conversion of text into Stata date. Once you have read this post, then you can read another post that lists a quick table of dates conversions from one frequency to another. Usually, when we import data manually into the Stata Editor, the dates are [...]
Find annual | monthly cumulative (product) of returns
The problem Let's say that we have daily stock returns. We want to convert those returns to cumulative returns for a weekly, monthly or yearly frequency. Where cumulative returns = (1+Ri1) * (1+Ri2) * (1+R3) * ... (1+R4) - 1 Solution First create the weekly, monthly or year identifier, and then use asrol program. Let [...]
Research Topics in Islamic Banking and Finance
1 How Islamic financial instruments can be used in international trade? 2 A mechanism for inter-bank transactions for Islamic and conventional banks 3 Can Sharia board play a role in the development of Islamic instruments? 4 Tawarruq as a tool of inter-bank borrowing 5 Risk management framework for Islamic banks: do we need something special? 6 [...]
asrol : Table of Contents
asrol uses asrol can be used for the following purposes. To know further details, click on the following links: ▬ Find the mean, standard deviation, and other statistics in a rolling window ▬ Find statistics excluding focal observation ▬ Find the cumulative product of stock returns / monthly cumulative stock returns ▬ Find geometric mean [...]