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R-SIG-Finance October 2007

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American basket options

8 msgs
Moshe Olshansky American basket options Oct 8, 2007 Krishna Kumar American basket options Oct 8, 2007 Moshe Olshansky American basket options Oct 8, 2007 Wojciech Slusarski American basket options Oct 9, 2007 Dale Smith American basket options Oct 9, 2007 Moshe Olshansky American basket options Oct 9, 2007 Wojciech Slusarski American basket options Oct 9, 2007 Moshe Olshansky American basket options Oct 10, 2007

Black -Litterman Model

3 msgs
ngottlieb at marinercapital.com Black -Litterman Model Oct 9, 2007 Brian G. Peterson Black -Litterman Model Oct 9, 2007 ngottlieb at marinercapital.com Black -Litterman Model Oct 9, 2007

Bug report on mgarchBEKK

1 msg
Ajay Shah Bug report on mgarchBEKK Sep 30, 2007

Burns on Cramer

4 msgs
BBands Burns on Cramer Oct 8, 2007 Patrick Burns Burns on Cramer Oct 9, 2007 BBands Burns on Cramer Oct 9, 2007 Patrick Burns Burns on Cramer Oct 9, 2007

Cramer vs. Pseudo-Cramer, etc.

1 msg
Patrick Burns Cramer vs. Pseudo-Cramer, etc. Oct 6, 2007

Financial charting now in quantmod v0.2-5

1 msg
Jeff Ryan Financial charting now in quantmod v0.2-5 Oct 19, 2007

For loop & CRRBinomial

1 msg
James For loop & CRRBinomial Oct 1, 2007

GARCH(1,1)-M

1 msg
Stefan Schiman GARCH(1,1)-M Oct 13, 2007

Getmansky et al. Smoothing Index

2 msgs
stefan.albrecht@allianz.com Getmansky et al. Smoothing Index Oct 19, 2007 stefan.albrecht@allianz.com Getmansky et al. Smoothing Index Oct 23, 2007

Kalman filter, SSPIR, usage

1 msg
Markus Loecher Kalman filter, SSPIR, usage Oct 7, 2007

London Quant Group

1 msg
david.jessop at ubs.com London Quant Group Oct 11, 2007

MAR-ARCH

10 msgs
Nigel.Walker at studentmail.newcastle.edu.au MAR-ARCH Oct 21, 2007 Jeff Ryan MAR-ARCH Oct 21, 2007 Ajay Shah MAR-ARCH Oct 21, 2007 Dirk Eddelbuettel MAR-ARCH Oct 21, 2007 Jeff Ryan MAR-ARCH Oct 22, 2007 Ajay Shah MAR-ARCH Oct 22, 2007 Patrick Burns MAR-ARCH Oct 23, 2007 Ajay Shah MAR-ARCH Oct 23, 2007 Dirk Eddelbuettel MAR-ARCH Oct 23, 2007 Patrick Burns MAR-ARCH Oct 23, 2007

MAR-GARCH

2 msgs
Nigel.Walker at studentmail.newcastle.edu.au MAR-GARCH Oct 27, 2007 Patrick Burns MAR-GARCH Oct 27, 2007

R can't response me, and maybe dead when calling garchFit

2 msgs
ANNing-ning R can't response me, and maybe dead when calling garchFit Oct 19, 2007 Hannu Kahra R can't response me, and maybe dead when calling garchFit Oct 19, 2007

R-SIG-Finance Digest, Vol 41, Issue 8: American Basket Options

2 msgs
Matt Slezak R-SIG-Finance Digest, Vol 41, Issue 8: American Basket Options Oct 11, 2007 Moshe Olshansky R-SIG-Finance Digest, Vol 41, Issue 8: American Basket Options Oct 11, 2007

RBloomberg equity options prices

2 msgs
Ravi S. Shankar RBloomberg equity options prices Oct 1, 2007 Robert Sams RBloomberg equity options prices Oct 1, 2007

Spreadsheet bashing paper from arxiv.org

2 msgs
Dirk Eddelbuettel Spreadsheet bashing paper from arxiv.org Oct 1, 2007 Dirk Eddelbuettel Spreadsheet bashing paper from arxiv.org Oct 1, 2007

Statistical Analysis of Financial Data in S-Plus

2 msgs
Dan Avery Statistical Analysis of Financial Data in S-Plus Oct 10, 2007 ngottlieb at marinercapital.com Statistical Analysis of Financial Data in S-Plus Oct 10, 2007

Timezone magic with zoo, POSIXct and strptime?

3 msgs
icosa atropa Timezone magic with zoo, POSIXct and strptime? Oct 13, 2007 Gabor Grothendieck Timezone magic with zoo, POSIXct and strptime? Oct 13, 2007 icosa atropa Timezone magic with zoo, POSIXct and strptime? Oct 13, 2007

bloomberg question

3 msgs
Mark Leeds bloomberg question Oct 18, 2007 Dirk Eddelbuettel bloomberg question Oct 18, 2007 davidr at rhotrading.com bloomberg question Oct 19, 2007

copula-based higher moment optimization

3 msgs
Alexander Moreno copula-based higher moment optimization Oct 7, 2007 Brian G. Peterson copula-based higher moment optimization Oct 7, 2007 Konrad Banachewicz copula-based higher moment optimization Oct 7, 2007

historical option prices

2 msgs
ShyhWeir Tzang historical option prices Oct 21, 2007 Thomas Steiner historical option prices Oct 23, 2007

oanda and yahoo get.hist.quote

6 msgs
Alexander Moreno oanda and yahoo get.hist.quote Oct 14, 2007 Dirk Eddelbuettel oanda and yahoo get.hist.quote Oct 14, 2007 Gabor Grothendieck oanda and yahoo get.hist.quote Oct 14, 2007 Jeff Ryan oanda and yahoo get.hist.quote Oct 14, 2007 Bernd Stampfl oanda and yahoo get.hist.quote Oct 15, 2007 Bernd Stampfl oanda and yahoo get.hist.quote Oct 15, 2007

prediction based on the results of fracdiff

1 msg
Lloyd Lubet prediction based on the results of fracdiff Oct 1, 2007

returns convention

6 msgs
paul sorenson returns convention Oct 8, 2007 Jeff Ryan returns convention Oct 8, 2007 Eric Zivot returns convention Oct 8, 2007 Peter Carl returns convention Oct 8, 2007 paul sorenson returns convention Oct 8, 2007 david.jessop at ubs.com returns convention Oct 9, 2007

smart updates and rolling windows

6 msgs
Matt Calder smart updates and rolling windows Oct 1, 2007 ngottlieb at marinercapital.com smart updates and rolling windows Oct 1, 2007 Rory Winston smart updates and rolling windows Oct 2, 2007 Sylvain BARTHELEMY smart updates and rolling windows Oct 2, 2007 Ryan Sheftel smart updates and rolling windows Oct 2, 2007 Dirk Eddelbuettel smart updates and rolling windows Oct 3, 2007