R-SIG-Finance July 2006

Has anyone done any work on Modified Cornish-Fisher VaR calculations in R?

1 msg Jul 27

J

Joe Byers Has anyone done any work on Modified Cornish-Fisher VaR calculations in R? Jul 27, 2006

Modified Cornish-Fisher VaR

2 msgs Jul 27

B

Brian G. Peterson Modified Cornish-Fisher VaR Jul 26, 2006

D

Diethelm Wuertz Modified Cornish-Fisher VaR Jul 27, 2006

calling rmvnorm from C ?

1 msg Jul 25

B

benn fine calling rmvnorm from C ? Jul 25, 2006

S-PLUS (binary code?) to R ...

2 msgs Jul 24

T

Thomas Harte S-PLUS (binary code?) to R ... Jul 24, 2006

D

Dirk Eddelbuettel S-PLUS (binary code?) to R ... Jul 24, 2006

Convert tick data to OHLC

1 msg Jul 24

B

bogdan romocea Convert tick data to OHLC Jul 24, 2006

Convert tick data to OHLC

2 msgs Jul 23

B

Bret Shroyer Convert tick data to OHLC Jul 19, 2006

S

Spencer Graves Convert tick data to OHLC Jul 23, 2006

Backtesting speed

8 msgs Jul 21

M

Manoj Backtesting speed Jul 2, 2006

B

BBands Backtesting speed Jul 3, 2006

B

BBands Backtesting speed Jul 18, 2006

R

roger bos Backtesting speed Jul 19, 2006

E

eric Backtesting speed Jul 19, 2006

D

Dirk Eddelbuettel Backtesting speed Jul 19, 2006

A

Andrew Piskorski Backtesting speed Jul 20, 2006

S

Steve Miller Backtesting speed Jul 21, 2006

Reminder about subscription before posting

1 msg Jul 21

D

Dirk Eddelbuettel Reminder about subscription before posting Jul 21, 2006

Supplied example breaks with mvBEKK.sim()

1 msg Jul 20

A

Ajay Shah Supplied example breaks with mvBEKK.sim() Jul 20, 2006

help on portfolio optimization

2 msgs Jul 20

A

Armstrong, Whit help on portfolio optimization Jul 20, 2006

F

Frederick Novomestky help on portfolio optimization Jul 20, 2006

Problems subsetting zoo objects

2 msgs Jul 15

I

icosa atropa Problems subsetting zoo objects Jul 15, 2006

G

Gabor Grothendieck Problems subsetting zoo objects Jul 15, 2006

Help for updating package

1 msg Jul 14

K

Kerpel, John Help for updating package Jul 14, 2006

Help for updating package

1 msg Jul 14

I

Ivan Kalafatic Help for updating package Jul 14, 2006

R-SIG-Finance Digest, Vol 26, Issue 9

1 msg Jul 13

K

Kevin Ramoutar R-SIG-Finance Digest, Vol 26, Issue 9 Jul 13, 2006

arma model results when exogenouse variables used in, ARMA(p=5, q=(1-6, 19)) (Joe Byers)

1 msg Jul 13

J

Joe Byers arma model results when exogenouse variables used in, ARMA(p=5, q=(1-6, 19)) (Joe Byers) Jul 13, 2006

frontierMarkowitz in fPortfolio

2 msgs Jul 12

H

Hannu Kahra frontierMarkowitz in fPortfolio Jul 12, 2006

G

Gabor Grothendieck frontierMarkowitz in fPortfolio Jul 12, 2006

Testing technical indicators

1 msg Jul 11

A

Andrea Malagoli Testing technical indicators Jul 11, 2006

arma model results when exogenouse variables used in, ARMA(p=5, q=(1-6, 19)) (Joe Byers)

1 msg Jul 10

J

Joe Byers arma model results when exogenouse variables used in, ARMA(p=5, q=(1-6, 19)) (Joe Byers) Jul 10, 2006

Rmetric and sciviews

3 msgs Jul 10

J

Joe Byers Rmetric and sciviews Jul 6, 2006

S

Spencer Graves Rmetric and sciviews Jul 9, 2006

J

Joe Byers Rmetric and sciviews Jul 10, 2006

multivariate GARCH

3 msgs Jul 8

C

Citta Francesco multivariate GARCH Jul 6, 2006

H

Hannu Kahra multivariate GARCH Jul 6, 2006

G

Grant Farnsworth multivariate GARCH Jul 8, 2006

fMultivar rollMax question

2 msgs Jul 7

O

Omar Lakkis fMultivar rollMax question Jul 7, 2006

S

Spencer Graves fMultivar rollMax question Jul 7, 2006

Backtesting Speed

2 msgs Jul 7

W

Wojciechowski, William Backtesting Speed Jul 6, 2006

A

Adrian Trapletti Backtesting Speed Jul 7, 2006

arma model results when exogenouse variables used in ARMA(p=5, q=(1-6, 19))

1 msg Jul 6

J

Joe Byers arma model results when exogenouse variables used in ARMA(p=5, q=(1-6, 19)) Jul 6, 2006

arma model when exogenouse variables used in ARMA(p=5, q=(1-6, 19))

1 msg Jul 6

J

Joe Byers arma model when exogenouse variables used in ARMA(p=5, q=(1-6, 19)) Jul 6, 2006

Backtesting Speed

1 msg Jul 6

W

Wojciechowski, William Backtesting Speed Jul 6, 2006

Problem with garchFit function in fSeries

1 msg Jul 6

I

Ivan Kalafatic Problem with garchFit function in fSeries Jul 6, 2006

Data management question

1 msg Jul 4

C

Carlos J. Gil Bellosta Data management question Jul 4, 2006

Data management question

1 msg Jul 4

G

Gabor Grothendieck Data management question Jul 4, 2006

Backtesting speed

1 msg Jul 3

A

Adrian Trapletti Backtesting speed Jul 3, 2006