R-SIG-Finance April 2009

ARIMA,GARCH and differences

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A

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5 msgs · Apr 11 – Apr 12

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

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

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

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

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Hannu Kahra ARIMA,GARCH and differences Apr 12, 2009

ARMA-GARCH package in R?

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J

J

3 msgs · Apr 6 – Apr 6

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

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

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

Best Sharpe Ratio

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4 msgs · Apr 18 – 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

Curvature related question

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E

2 msgs · Apr 7 – Apr 7

V

Vorlow Constantinos Curvature related question Apr 7, 2009

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Eric Zivot Curvature related question Apr 7, 2009

Dates manipulation

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G

3 msgs · Apr 27 – Apr 29

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Manoj Dates manipulation Apr 27, 2009

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Gabor Grothendieck Dates manipulation Apr 27, 2009

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Gabor Grothendieck Dates manipulation Apr 29, 2009

Downloading data from Yahoo

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J

J

6 msgs · Apr 27 – Apr 28

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Megh Dal Downloading data from Yahoo Apr 27, 2009

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Joshua Ulrich Downloading data from Yahoo Apr 27, 2009

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Jeff Ryan Downloading data from Yahoo Apr 27, 2009

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Khanh Nguyen Downloading data from Yahoo Apr 27, 2009

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Hodgess, Erin Downloading data from Yahoo Apr 27, 2009

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Megh Dal Downloading data from Yahoo Apr 28, 2009

EWMA covariance matrix

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1 msg · Apr 14

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Eric Zivot EWMA covariance matrix Apr 14, 2009

Elliptical Copula simulation

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X

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3 msgs · Apr 1 – Apr 1

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tawfiq just Elliptical Copula simulation Apr 1, 2009

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Xiaochen Sun Elliptical Copula simulation Apr 1, 2009

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Hyun-U Sohn Elliptical Copula simulation Apr 1, 2009

Estimating ARMA-GRACH model through a loop

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M

2 msgs · Apr 7 – Apr 8

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

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

Extracting AIC or Log-Likelihood from a fitted GARCH

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H

4 msgs · Apr 7 – Apr 7

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

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

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

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

FX options data - CME or others

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1 msg · Apr 2

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

Geometric Brownian Motion with Jumps MLE

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1 msg · Apr 3

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

Hi from a student

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1 msg · Apr 24

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Khanh Nguyen Hi from a student Apr 24, 2009

Historical data: FX spot and options

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1 msg · Apr 2

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

How do cubic spline coefficients contribute to yield formula?

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1 msg · Apr 14

C

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

How estimate VAR(p)-model robustly?

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B

2 msgs · Apr 20 – Apr 20

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

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

How to code Geometric Brownian Motion Process with Jumps

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1 msg · Apr 6

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

How to code Geometric Brownian Motion Process with Jumps

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T

2 msgs · Apr 5 – Apr 6

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

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

How to do a real time graph

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D

2 msgs · Apr 27 – Apr 27

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

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

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

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1 msg · Apr 5

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

Invoking bond_prices function of termstrc package

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2 msgs · Apr 9 – Apr 9

C

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

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

MLE Jump diffision

F

B

2 msgs · Apr 10 – Apr 11

F

From Watchman MLE Jump diffision Apr 10, 2009

B

Brian G. Peterson MLE Jump diffision Apr 11, 2009

MSE from GARCH forecast

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A

5 msgs · Apr 3 – Apr 3

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

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Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

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Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

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

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Alexios Ghalanos MSE from GARCH forecast Apr 3, 2009

New banking analytics company (with R computation engine)

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1 msg · Apr 28

B

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

No intercep for First-Difference Estimator in PLM (panel data)

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1 msg · Apr 12

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

Opentick Gone

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1 msg · Apr 13

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Cedrick Johnson Opentick Gone Apr 13, 2009

Problem with Extracting Fitted Values from fGarch package

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1 msg · Apr 6

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

Problem with Extracting Fitted Values from fGarchpackage

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1 msg · Apr 6

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

Quantmod

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J

2 msgs · Apr 5 – Apr 5

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Dan Avery Quantmod Apr 5, 2009

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Jeff Ryan Quantmod Apr 5, 2009

Quantmod problem retrieving data

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J

J

5 msgs · Apr 9 – Apr 10

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Werner Erselina Quantmod problem retrieving data Apr 9, 2009

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Joshua Ulrich Quantmod problem retrieving data Apr 9, 2009

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Werner Erselina Quantmod problem retrieving data Apr 10, 2009

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Jeff Ryan Quantmod problem retrieving data Apr 10, 2009

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Werner Erselina Quantmod problem retrieving data Apr 10, 2009

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

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1 msg · Apr 11

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

R/Finance 2009 Schedule and Updates

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1 msg · Apr 17

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

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

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1 msg · Apr 15

R

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

RBloomberg - limit on size of return array?

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1 msg · Apr 29

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

Review of some R/Finance 2009 talks

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1 msg · Apr 27

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

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

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1 msg · Apr 2

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

TTR's RSI

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J

7 msgs · Apr 28 – Apr 29

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Hae Kyung Im TTR's RSI Apr 28, 2009

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Joshua Ulrich TTR's RSI Apr 28, 2009

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Hae Kyung Im TTR's RSI Apr 28, 2009

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Hae Kyung Im TTR's RSI Apr 28, 2009

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Hae Kyung Im TTR's RSI Apr 28, 2009

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Joshua Ulrich TTR's RSI Apr 28, 2009

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Joshua Ulrich TTR's RSI Apr 29, 2009

VaR again

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B

R

6 msgs · Apr 29 – Apr 30

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Megh Dal VaR again Apr 29, 2009

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Brian G. Peterson VaR again Apr 29, 2009

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resident76 VaR again Apr 29, 2009

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Megh Dal VaR again Apr 29, 2009

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resident76 VaR again Apr 29, 2009

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Brian G. Peterson VaR again Apr 30, 2009

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

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1 msg · Apr 7

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

abline for quantmod charts

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J

2 msgs · Apr 30 – Apr 30

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Hae Kyung Im abline for quantmod charts Apr 30, 2009

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Jeff Ryan abline for quantmod charts Apr 30, 2009

an ARIMA(0,2,1) model

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M

2 msgs · Apr 10 – Apr 10

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

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

as.xts of a data.frame

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G

2 msgs · Apr 6 – Apr 6

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

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

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

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1 msg · Apr 2

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

dinvgamma(sigma, shape, scale)

N

1 msg · Apr 26

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

error in tangencyPortfolio when Short

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B

4 msgs · Apr 17 – 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

fPortfolio - portfolioFrontier - Limit on number of assets

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1 msg · Apr 30

Y

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

fPortfolio custom constraints

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1 msg · Apr 30

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Anil Vijendran fPortfolio custom constraints Apr 30, 2009

great conference and a question

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B

R

4 msgs · Apr 27 – Apr 27

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

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

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

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

help: yahoo special tags

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G

J

4 msgs · Apr 3 – Apr 3

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Andy Zhu help: yahoo special tags Apr 3, 2009

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gug help: yahoo special tags Apr 3, 2009

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Jeff Ryan help: yahoo special tags Apr 3, 2009

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Andy Zhu help: yahoo special tags Apr 3, 2009

mark areas on time series plot

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G

G

6 msgs · Apr 18 – Apr 19

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

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

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

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

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

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

quantmod: overlaying time series bar charts

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¨

J

4 msgs · Apr 28 – Apr 29

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

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

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

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

updated Rmetrics packages

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1 msg · Apr 21

Y

Yohan Chalabi updated Rmetrics packages Apr 21, 2009

weightsSlider in fPortfolio broken?

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1 msg · Apr 28

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Stefan Grosse weightsSlider in fPortfolio broken? Apr 28, 2009

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

B

1 msg · Apr 19

B

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

xts and to.weekly function

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J

3 msgs · Apr 20 – Apr 22

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kafkaz xts and to.weekly function Apr 20, 2009

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

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kafkaz xts and to.weekly function Apr 22, 2009

yahoo historical data quality

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G

J

7 msgs · Apr 10 – Apr 11

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Andy Zhu yahoo historical data quality Apr 10, 2009

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gug yahoo historical data quality Apr 10, 2009

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James Toll yahoo historical data quality Apr 10, 2009

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Hodgess, Erin yahoo historical data quality Apr 10, 2009

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Andy Zhu yahoo historical data quality Apr 10, 2009

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gug yahoo historical data quality Apr 10, 2009

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rcoder yahoo historical data quality Apr 11, 2009

zoo: bug / feature replacing coredata - subsetting by dates

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G

B

5 msgs · Apr 24 – Apr 24

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

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

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

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

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