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R-SIG-Finance April 2008

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130/30 Portfolio Optimization

4 msgs
Shlomo Katchmalik 130/30 Portfolio Optimization Apr 14, 2008 Guy Yollin 130/30 Portfolio Optimization Apr 14, 2008 Attiglah, Mama 130/30 Portfolio Optimization Apr 15, 2008 Christian Prinoth 130/30 Portfolio Optimization Apr 15, 2008

Bayesian estimation of jump-diffusion processes and self-exciting counting processes

1 msg
Michael Bayesian estimation of jump-diffusion processes and self-exciting counting processes Apr 1, 2008

Bayesian estimation of jump-diffusion processes andself-exciting counting processes

1 msg
Jeffrey Todd Lins Bayesian estimation of jump-diffusion processes andself-exciting counting processes Apr 2, 2008

CFE'08 - Final call for papers

1 msg
Christian Kleiber CFE'08 - Final call for papers Apr 18, 2008

Causality test

3 msgs
bereket weldeslassie Causality test Apr 17, 2008 Mark Leeds Causality test Apr 17, 2008 Patrick Brandt Causality test Apr 17, 2008

Conditional Variance in GARCH Model?

2 msgs
Aditya Conditional Variance in GARCH Model? Apr 23, 2008 michal miklovic Conditional Variance in GARCH Model? Apr 23, 2008

CreditRisk+

1 msg
Mario Melchiori CreditRisk+ Apr 12, 2008

Database : High frequency data

8 msgs
chockri adnen Database : High frequency data Apr 25, 2008 Whit Armstrong Database : High frequency data Apr 25, 2008 Joshua Ulrich Database : High frequency data Apr 25, 2008 chockri adnen Database : High frequency data Apr 25, 2008 David Rodriguez Database : High frequency data Apr 25, 2008 Ryan Sheftel Database : High frequency data Apr 25, 2008 chockri adnen Database : High frequency data Apr 25, 2008 Brian G. Peterson Database : High frequency data Apr 25, 2008

Estimating hour-of-day effects for count timeseries

1 msg
Markus Loecher Estimating hour-of-day effects for count timeseries Apr 21, 2008

External regressors in GARCH variance eq.

2 msgs
Radovan Fišer External regressors in GARCH variance eq. Apr 21, 2008 Jaromir Baxa External regressors in GARCH variance eq. Apr 21, 2008

Garch and multivariate garch

2 msgs
michal miklovic Garch and multivariate garch Apr 13, 2008 Eric Zivot Garch and multivariate garch Apr 13, 2008

Garch fitting with mean regressors

7 msgs
Stefano Balietti Garch fitting with mean regressors Apr 15, 2008 Yohan Chalabi Garch fitting with mean regressors Apr 15, 2008 Patrick Burns Garch fitting with mean regressors Apr 16, 2008 Zeno Adams Garch fitting with mean regressors Apr 16, 2008 Stefano Balietti Garch fitting with mean regressors Apr 16, 2008 Patrick Burns Garch fitting with mean regressors Apr 16, 2008 Eric Zivot Garch fitting with mean regressors Apr 16, 2008

Handling multiple files to generate Charts

1 msg
Jasoria, Gaurav (GMI - Global Product Development) Handling multiple files to generate Charts Apr 28, 2008

Inequality Constraints for GARCH using Matlab

1 msg
Dennis Türk Inequality Constraints for GARCH using Matlab Apr 24, 2008

Optimization Book with R. (Style Based Analysis, MV Portfolio)

1 msg
Peter Carl Optimization Book with R. (Style Based Analysis, MV Portfolio) Apr 7, 2008

Optimization Book with R. (Style Based Analysis, MV Portfoli

2 msgs
Mark Leeds Optimization Book with R. (Style Based Analysis, MV Portfoli Apr 7, 2008 Christian Prinoth Optimization Book with R. (Style Based Analysis, MV Portfoli Apr 8, 2008

Optimization Book with R. (Style Based Analysis, MV Portfolio)

3 msgs
gabe plaxico Optimization Book with R. (Style Based Analysis, MV Portfolio) Apr 7, 2008 ngottlieb at marinercapital.com Optimization Book with R. (Style Based Analysis, MV Portfolio) Apr 7, 2008 Max BERGER Optimization Book with R. (Style Based Analysis, MV Portfolio) Apr 7, 2008

Predictive Analytics for Business, Marketing and Web (May 8-9 and June 5-6)

1 msg
Elise Johnson Predictive Analytics for Business, Marketing and Web (May 8-9 and June 5-6) Apr 4, 2008

Problem with GarchFit [NC]

4 msgs
sylvain.archenault at sgcib.com Problem with GarchFit [NC] Apr 7, 2008 sylvain.archenault at sgcib.com Problem with GarchFit [NC] Apr 7, 2008 sylvain.archenault at sgcib.com Problem with GarchFit [NC] Apr 7, 2008 sylvain.archenault at sgcib.com Problem with GarchFit [NC] Apr 8, 2008

Question: ACD?

1 msg
Yukihiro yamada Question: ACD? Apr 10, 2008

R + NVIDIA CUDA

2 msgs
Uri Shimron R + NVIDIA CUDA Apr 2, 2008 Martin Maechler R + NVIDIA CUDA Apr 2, 2008

Rbloomberg Crash Fixed

5 msgs
Roberts, Timothy Rbloomberg Crash Fixed Apr 24, 2008 Thomas Steiner Rbloomberg Crash Fixed Apr 24, 2008 Brian G. Peterson Rbloomberg Crash Fixed Apr 24, 2008 david.jessop at ubs.com Rbloomberg Crash Fixed Apr 25, 2008 Ana Nelson Rbloomberg Crash Fixed Apr 25, 2008

Risk Control Strategies for Hedge Funds and Program Trading - 4th Annual CARISMA conference

1 msg
Xiaochen Sun Risk Control Strategies for Hedge Funds and Program Trading - 4th Annual CARISMA conference Apr 17, 2008

Seasonal GARCH

8 msgs
ihernan at stat.Berkeley.EDU Seasonal GARCH Apr 6, 2008 Spencer Graves Seasonal GARCH Apr 6, 2008 Mark Leeds Seasonal GARCH Apr 6, 2008 Gabor Grothendieck Seasonal GARCH Apr 6, 2008 Spencer Graves Seasonal GARCH Apr 6, 2008 Eric Zivot Seasonal GARCH Apr 6, 2008 chalabi at phys.ethz.ch Seasonal GARCH Apr 7, 2008 chalabi at phys.ethz.ch Seasonal GARCH Apr 7, 2008

Test statistics for mean reverting property

4 msgs
kennylin nthu Test statistics for mean reverting property Apr 15, 2008 Matthieu Stigler Test statistics for mean reverting property Apr 15, 2008 John C Frain Test statistics for mean reverting property Apr 16, 2008 Ajay Shah Test statistics for mean reverting property Apr 16, 2008

an obvious question

2 msgs
zubin an obvious question Apr 13, 2008 Tony Plate an obvious question Apr 14, 2008

arma model fitting

2 msgs
Bastian Offermann arma model fitting Apr 24, 2008 michal miklovic arma model fitting Apr 25, 2008

cointegration and causality test

2 msgs
bereket weldeslassie cointegration and causality test Apr 28, 2008 Pfaff, Bernhard Dr. cointegration and causality test Apr 29, 2008

economagic Import - error message

4 msgs
stephenc economagic Import - error message Apr 16, 2008 Yohan Chalabi economagic Import - error message Apr 16, 2008 Diethelm Wuertz economagic Import - error message Apr 17, 2008 Jeff Ryan economagic Import - error message Apr 17, 2008

endpoints function in package xts [C1]

3 msgs
anass.mouhsine at sgcib.com endpoints function in package xts [C1] Apr 7, 2008 Jeff Ryan endpoints function in package xts [C1] Apr 7, 2008 Gabor Grothendieck endpoints function in package xts [C1] Apr 7, 2008

garchFit - Strange behaviour of trace argument [C1]

2 msgs
sylvain.archenault at sgcib.com garchFit - Strange behaviour of trace argument [C1] Apr 17, 2008 Yohan Chalabi garchFit - Strange behaviour of trace argument [C1] Apr 17, 2008

http://www.market-topology.com/

1 msg
Yuri Volchik http://www.market-topology.com/ Apr 6, 2008

question on zoo data manipulation

7 msgs
Manoj question on zoo data manipulation Apr 14, 2008 Achim Zeileis question on zoo data manipulation Apr 14, 2008 Gabor Grothendieck question on zoo data manipulation Apr 14, 2008 Manoj question on zoo data manipulation Apr 14, 2008 Gabor Grothendieck question on zoo data manipulation Apr 15, 2008 Gabor Grothendieck question on zoo data manipulation Apr 16, 2008 Manoj question on zoo data manipulation Apr 16, 2008

rare event simulation

2 msgs
Wei-han Liu rare event simulation Apr 29, 2008 Pfaff, Bernhard Dr. rare event simulation Apr 30, 2008

real time data feeds - commercial services

5 msgs
zubin real time data feeds - commercial services Apr 1, 2008 Ryan Sheftel real time data feeds - commercial services Apr 1, 2008 Adrian Dragulescu real time data feeds - commercial services Apr 1, 2008 Jeff Ryan real time data feeds - commercial services Apr 1, 2008 zubin real time data feeds - commercial services Apr 1, 2008

time series regression

2 msgs
bereket weldeslassie time series regression Apr 11, 2008 Matthieu Stigler time series regression Apr 12, 2008

time series regression (demand for higher education)

2 msgs
bereket weldeslassie time series regression (demand for higher education) Apr 14, 2008 Spencer Graves time series regression (demand for higher education) Apr 14, 2008