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st: RE: montecarlo simulations with actual distributions


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: montecarlo simulations with actual distributions
Date   Wed, 2 Jul 2008 12:36:15 +0200

- h simulate - is for you. Its example program syntax at the bottom gives
you the clearest possible advice as to the implementation of MC in Stata.

Martin Weiss
_________________________________________________________________

Diplom-Kaufmann Martin Weiss
Mohlstrasse 36
Room 415
72074 Tuebingen
Germany

Fon: 0049-7071-2978184

Home: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1130

Publications: http://www.wiwi.uni-tuebingen.de/cms/index.php?id=1131

SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=669945

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of emanuele
canegrati
Sent: Wednesday, July 02, 2008 12:30 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: montecarlo simulations with actual distributions


Dear Users,





I have to perform some montecarlo simulations of market returns with STATA.
I would like to generate these returns from the original time series under
the condition they reflect the actual PDF and so I think I need to calculate
the mean and the standard deviations of returns. Which is the programme I
have to write? I have to perform any non-parametric analysis before in order
to calculate the actual distribution of my returns?





Thank you in advance.





Kind Regards,





Emanuele Canegrati

_________________________________________________________________
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