Miscellaneous Finance Procedures

Instructions:
• These procedures can be downloaded individually, or together as one zip file: miscfin.zip . Place all files (including declaration files ending in ".dec") into your "/gauss/src" directory.

Individual Programs:

• yldtomat.g & Procedure to calculate a vector of yield to maturities, given vectors of bond characteristics. Note this procedure is very fast and can calculate several thousand yields to maturities for coupon bonds within a few seconds.

• newwest.g Procedure to estimate OLS coefficients and standard errors allowing for unknown forms of heteroscedasticity and serial correlation in the error terms. This is particularly useful when using asset returns as dependent variable in a regression, over overlapping time intervals.

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Last modified: 1/1/2003