R-SIG-Finance April 2009

abline for quantmod charts

2 msgs Apr 30

H

Hae Kyung Im abline for quantmod charts Apr 30, 2009

J

Jeff Ryan abline for quantmod charts Apr 30, 2009

fPortfolio - portfolioFrontier - Limit on number of assets

1 msg Apr 30

Y

Yaakov Moser fPortfolio - portfolioFrontier - Limit on number of assets Apr 30, 2009

VaR again

6 msgs Apr 30

M

Megh Dal VaR again Apr 29, 2009

B

Brian G. Peterson VaR again Apr 29, 2009

R

resident76 VaR again Apr 29, 2009

M

Megh Dal VaR again Apr 29, 2009

R

resident76 VaR again Apr 29, 2009

B

Brian G. Peterson VaR again Apr 30, 2009

fPortfolio custom constraints

1 msg Apr 30

A

Anil Vijendran fPortfolio custom constraints Apr 30, 2009

quantmod: overlaying time series bar charts

4 msgs Apr 29

S

Sebastian Hauer quantmod: overlaying time series bar charts Apr 28, 2009

¨

¨Tariq Khan quantmod: overlaying time series bar charts Apr 29, 2009

J

Jeff Ryan quantmod: overlaying time series bar charts Apr 29, 2009

D

Dai, Jiqiong quantmod: overlaying time series bar charts Apr 29, 2009

TTR's RSI

1 msg Apr 29

J

Joshua Ulrich TTR's RSI Apr 29, 2009

RBloomberg - limit on size of return array?

1 msg Apr 29

P

Phil Joubert RBloomberg - limit on size of return array? Apr 29, 2009

Dates manipulation

3 msgs Apr 29

M

Manoj Dates manipulation Apr 27, 2009

G

Gabor Grothendieck Dates manipulation Apr 27, 2009

G

Gabor Grothendieck Dates manipulation Apr 29, 2009

TTR's RSI

6 msgs Apr 28

H

Hae Kyung Im TTR's RSI Apr 28, 2009

J

Joshua Ulrich TTR's RSI Apr 28, 2009

H

Hae Kyung Im TTR's RSI Apr 28, 2009

H

Hae Kyung Im TTR's RSI Apr 28, 2009

H

Hae Kyung Im TTR's RSI Apr 28, 2009

J

Joshua Ulrich TTR's RSI Apr 28, 2009

New banking analytics company (with R computation engine)

1 msg Apr 28

B

Bill McKinnon New banking analytics company (with R computation engine) Apr 28, 2009

Downloading data from Yahoo

6 msgs Apr 28

M

Megh Dal Downloading data from Yahoo Apr 27, 2009

J

Joshua Ulrich Downloading data from Yahoo Apr 27, 2009

J

Jeff Ryan Downloading data from Yahoo Apr 27, 2009

K

Khanh Nguyen Downloading data from Yahoo Apr 27, 2009

H

Hodgess, Erin Downloading data from Yahoo Apr 27, 2009

M

Megh Dal Downloading data from Yahoo Apr 28, 2009

weightsSlider in fPortfolio broken?

1 msg Apr 28

S

Stefan Grosse weightsSlider in fPortfolio broken? Apr 28, 2009

Review of some R/Finance 2009 talks

1 msg Apr 27

D

David Smith Review of some R/Finance 2009 talks Apr 27, 2009

great conference and a question

4 msgs Apr 27

H

Hodgess, Erin great conference and a question Apr 27, 2009

B

Brian G. Peterson great conference and a question Apr 27, 2009

R

R P Herrold great conference and a question Apr 27, 2009

R

Rowe, Brian Lee Yung (Portfolio Analytics) great conference and a question Apr 27, 2009

How to do a real time graph

2 msgs Apr 27

K

Krishna Dagli How to do a real time graph Apr 27, 2009

D

Dirk Eddelbuettel How to do a real time graph Apr 27, 2009

dinvgamma(sigma, shape, scale)

1 msg Apr 26

N

Nabil Meslmani dinvgamma(sigma, shape, scale) Apr 26, 2009

zoo: bug / feature replacing coredata - subsetting by dates

3 msgs Apr 24

P

Phil Joubert zoo: bug / feature replacing coredata - subsetting by dates Apr 24, 2009

B

Brian G. Peterson zoo: bug / feature replacing coredata - subsetting by dates Apr 24, 2009

J

Jeff Ryan zoo: bug / feature replacing coredata - subsetting by dates Apr 24, 2009

[Google Summer of Code 2009] Hi from a student

1 msg Apr 24

K

Khanh Nguyen Hi from a student Apr 24, 2009

zoo: bug / feature replacing coredata - subsetting by dates

2 msgs Apr 24

P

Phil Joubert zoo: bug / feature replacing coredata - subsetting by dates Apr 24, 2009

G

Gabor Grothendieck zoo: bug / feature replacing coredata - subsetting by dates Apr 24, 2009

xts and to.weekly function

3 msgs Apr 22

K

kafkaz xts and to.weekly function Apr 20, 2009

J

Joshua Ulrich xts and to.weekly function Apr 20, 2009

K

kafkaz xts and to.weekly function Apr 22, 2009

updated Rmetrics packages

1 msg Apr 21

Y

Yohan Chalabi updated Rmetrics packages Apr 21, 2009

How estimate VAR(p)-model robustly?

2 msgs Apr 20

I

Irene Schreiber How estimate VAR(p)-model robustly? Apr 20, 2009

B

Brian G. Peterson How estimate VAR(p)-model robustly? Apr 20, 2009

mark areas on time series plot

6 msgs Apr 19

S

Stefan Janse van Rensburg mark areas on time series plot Apr 18, 2009

G

Gabor Grothendieck mark areas on time series plot Apr 18, 2009

S

Stefan Janse van Rensburg mark areas on time series plot Apr 19, 2009

G

gnolffilc at gmail.com mark areas on time series plot Apr 19, 2009

G

Gabor Grothendieck mark areas on time series plot Apr 19, 2009

G

gnolffilc at gmail.com mark areas on time series plot Apr 19, 2009

[PerformanceAnalytics]why riskfree rate in table.capm can't be a vector?

1 msg Apr 19

B

BearXu why riskfree rate in table.capm can't be a vector? Apr 19, 2009

Best Sharpe Ratio

4 msgs Apr 19

B

BearXu Best Sharpe Ratio Apr 18, 2009

B

BearXu Best Sharpe Ratio Apr 18, 2009

B

BearXu Best Sharpe Ratio Apr 18, 2009

B

BearXu Best Sharpe Ratio Apr 19, 2009

error in tangencyPortfolio when Short

4 msgs Apr 17

B

BearXu error in tangencyPortfolio when Short Apr 17, 2009

B

BearXu error in tangencyPortfolio when Short Apr 17, 2009

B

BearXu error in tangencyPortfolio when Short Apr 17, 2009

B

Brian G. Peterson error in tangencyPortfolio when Short Apr 17, 2009

R/Finance 2009 Schedule and Updates

1 msg Apr 17

J

Jeff Ryan R/Finance 2009 Schedule and Updates Apr 17, 2009

R: No intercep for First-Difference Estimator in PLM(panel data) - follow-up

1 msg Apr 15

R

Robert Iquiapaza R: No intercep for First-Difference Estimator in PLM(panel data) - follow-up Apr 15, 2009

EWMA covariance matrix

1 msg Apr 14

E

Eric Zivot EWMA covariance matrix Apr 14, 2009

How do cubic spline coefficients contribute to yield formula?

1 msg Apr 14

C

Chirantan Kundu How do cubic spline coefficients contribute to yield formula? Apr 14, 2009

ARIMA,GARCH and differences

6 msgs Apr 13

B

babel at centrum.sk ARIMA,GARCH and differences Apr 11, 2009

A

Adams, Zeno ARIMA,GARCH and differences Apr 12, 2009

B

babel at centrum.sk ARIMA,GARCH and differences Apr 12, 2009

A

Adams, Zeno ARIMA,GARCH and differences Apr 12, 2009

H

Hannu Kahra ARIMA,GARCH and differences Apr 12, 2009

C

Cedrick Johnson Opentick Gone Apr 13, 2009

MLE Jump diffision

3 msgs Apr 12

F

From Watchman MLE Jump diffision Apr 10, 2009

B

Brian G. Peterson MLE Jump diffision Apr 11, 2009

R

Robert Iquiapaza No intercep for First-Difference Estimator in PLM (panel data) Apr 12, 2009

R-SIG-Finance Digest, Vol 59, Issue 10

1 msg Apr 11

R

Rosenthal, Dale W.R. R-SIG-Finance Digest, Vol 59, Issue 10 Apr 11, 2009

yahoo historical data quality

3 msgs Apr 11

A

Andy Zhu yahoo historical data quality Apr 10, 2009

G

gug yahoo historical data quality Apr 10, 2009

R

rcoder yahoo historical data quality Apr 11, 2009

an ARIMA(0,2,1) model

1 msg Apr 10

M

Mark Leeds an ARIMA(0,2,1) model Apr 10, 2009

an ARIMA(0,2,1) model

1 msg Apr 10

B

BearXu an ARIMA(0,2,1) model Apr 10, 2009

yahoo historical data quality

4 msgs Apr 10

A

Andy Zhu yahoo historical data quality Apr 10, 2009

G

gug yahoo historical data quality Apr 10, 2009

J

James Toll yahoo historical data quality Apr 10, 2009

H

Hodgess, Erin yahoo historical data quality Apr 10, 2009

Quantmod problem retrieving data

5 msgs Apr 10

W

Werner Erselina Quantmod problem retrieving data Apr 9, 2009

J

Joshua Ulrich Quantmod problem retrieving data Apr 9, 2009

W

Werner Erselina Quantmod problem retrieving data Apr 10, 2009

J

Jeff Ryan Quantmod problem retrieving data Apr 10, 2009

W

Werner Erselina Quantmod problem retrieving data Apr 10, 2009

Invoking bond_prices function of termstrc package

1 msg Apr 9

C

Chirantan Kundu Invoking bond_prices function of termstrc package Apr 9, 2009

Invoking bond_prices function of termstrc package

1 msg Apr 9

C

Chirantan Kundu Invoking bond_prices function of termstrc package Apr 9, 2009

Estimating ARMA-GRACH model through a loop

2 msgs Apr 8

M

Mohammad Sabr Estimating ARMA-GRACH model through a loop Apr 7, 2009

M

Martin Becker Estimating ARMA-GRACH model through a loop Apr 8, 2009

When will the ebook "Portfolio Optimization with R/Rmetrics" be published?

1 msg Apr 7

B

BearXu When will the ebook "Portfolio Optimization with R/Rmetrics" be published? Apr 7, 2009

Extracting AIC or Log-Likelihood from a fitted GARCH

1 msg Apr 7

M

Mohammad Sabr Extracting AIC or Log-Likelihood from a fitted GARCH Apr 7, 2009

Extracting AIC or Log-Likelihood from a fitted GARCH

2 msgs Apr 7

M

Mohammad Sabr Extracting AIC or Log-Likelihood from a fitted GARCH Apr 7, 2009

H

Hodgess, Erin Extracting AIC or Log-Likelihood from a fitted GARCH Apr 7, 2009

Curvature related question

2 msgs Apr 7

V

Vorlow Constantinos Curvature related question Apr 7, 2009

E

Eric Zivot Curvature related question Apr 7, 2009

Extracting AIC or Log-Likelihood from a fitted GARCH

1 msg Apr 7

M

Mohammad Sabr Extracting AIC or Log-Likelihood from a fitted GARCH Apr 7, 2009

Problem with Extracting Fitted Values from fGarchpackage

1 msg Apr 6

M

Mohammad Sabr Problem with Extracting Fitted Values from fGarchpackage Apr 6, 2009

How to code Geometric Brownian Motion Process with Jumps

3 msgs Apr 6

J

John-Paul Taylor How to code Geometric Brownian Motion Process with Jumps Apr 5, 2009

T

Thomas Steiner How to code Geometric Brownian Motion Process with Jumps Apr 6, 2009

S

stefano iacus How to code Geometric Brownian Motion Process with Jumps Apr 6, 2009

as.xts of a data.frame

2 msgs Apr 6

S

Sebastian Hauer as.xts of a data.frame Apr 6, 2009

G

Gabor Grothendieck as.xts of a data.frame Apr 6, 2009

Problem with Extracting Fitted Values from fGarch package

1 msg Apr 6

M

Mohammad Sabr Problem with Extracting Fitted Values from fGarch package Apr 6, 2009

ARMA-GARCH package in R?

2 msgs Apr 6

J

Jose Iparraguirre D'Elia ARMA-GARCH package in R? Apr 6, 2009

J

John Kerpel ARMA-GARCH package in R? Apr 6, 2009

ARMA-GARCH package in R?

1 msg Apr 6

I

Irene Schreiber ARMA-GARCH package in R? Apr 6, 2009

Introducing tawny, a package for filtering correlation matrices via random matrix theory and shrinkage estimation

1 msg Apr 5

B

Brian Lee Yung Rowe Introducing tawny, a package for filtering correlation matrices via random matrix theory and shrinkage estimation Apr 5, 2009

Quantmod

2 msgs Apr 5

D

Dan Avery Quantmod Apr 5, 2009

J

Jeff Ryan Quantmod Apr 5, 2009

MSE from GARCH forecast

2 msgs Apr 3

A

ahmed_shamiri at yahoo.com MSE from GARCH forecast Apr 3, 2009

A

Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

MSE from GARCH forecast

3 msgs Apr 3

A

ahmed_shamiri at yahoo.com MSE from GARCH forecast Apr 3, 2009

A

Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

A

Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

help: yahoo special tags

1 msg Apr 3

A

Andy Zhu help: yahoo special tags Apr 3, 2009

help: yahoo special tags

3 msgs Apr 3

A

Andy Zhu help: yahoo special tags Apr 3, 2009

G

gug help: yahoo special tags Apr 3, 2009

J

Jeff Ryan help: yahoo special tags Apr 3, 2009

Geometric Brownian Motion with Jumps MLE

1 msg Apr 3

J

John-Paul Taylor Geometric Brownian Motion with Jumps MLE Apr 3, 2009

data.table is on CRAN (higher speed time series joins and more)

1 msg Apr 2

M

Matt Dowle data.table is on CRAN (higher speed time series joins and more) Apr 2, 2009

FX options data - CME or others

1 msg Apr 2

R

rcoder FX options data - CME or others Apr 2, 2009

Shaohui Wang ist außer Haus. / is out of the office.

1 msg Apr 2

S

Shaohui.Wang at dzbank.de Shaohui Wang ist außer Haus. / is out of the office. Apr 2, 2009

Historical data: FX spot and options

1 msg Apr 2

R

rcoder Historical data: FX spot and options Apr 2, 2009

Elliptical Copula simulation

3 msgs Apr 1

T

tawfiq just Elliptical Copula simulation Apr 1, 2009

X

Xiaochen Sun Elliptical Copula simulation Apr 1, 2009

H

Hyun-U Sohn Elliptical Copula simulation Apr 1, 2009