CEVC model, ECMODE

Estimation, simulation and portfolio optimization with the generalized constant elasticity of volatility and correlation ratio (CEVC) model.
There are three files included in this package. The excel file (DataCEVF2.xlsx) contains daily prices of the assets used in the analyses. The MATLAB file EstimationCEC2d_v20_Final.m provides the code for the estimation of all four models in the study (CEVC, CEV, CEC and Merton), as well as the optimal portfolio allocation. It also produces figures on the time series of correlations, volatilities and optimal portfolios. The file SimulationCEC2d_v20_Final.m performs a simulation and recovery estimation of the main model (CEVC).