GHADAica

Download: GHADAica.xpl
Code:
setsize(600,400)
library("stats")

library("VaR")
data = read("sfm_pri.dat")
x = diff(log(data[,2:21]))
x1 = x[,1:2]
x2 = x[,1:3]
x3 = x[,2:3]
d = createdisplay(1,2)
b1 = ICAjadeR(x1,2)
z1 = x1*b1
show(d,1,1,x1)
show(d,1,2,z1)
setgopt(d,1,1,"title", "Allianz-BASF returns", "border",0)
setgopt(d,1,2,"title", "ICA: Allianz-BASF","border",0)

f = createdisplay(1,2)
b2 = ICAjadeR(x2,2)
z2 = x2*b2
show(f,1,1,x2)
show(f,1,2,z2)
setgopt(f,1,1,"title", "Allianz-Bayer returns", "border",0)
setgopt(f,1,2,"title", "ICA: Allianz-Bayer","border",0)

fd = createdisplay(1,2)

b3 = ICAjadeR(x3,2)
z3 = x3*b3
show(fd,1,1,x3)
show(fd,1,2,z3)
setgopt(fd,1,1,"title", "BASF-Bayer returns", "border",0)
setgopt(fd,1,2,"title", "ICA: BASF-Bayer","border",0)



05.11.2004