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R-SIG-Finance June 2009

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Achim Zeileis

Last active: Jun 9, 2009
2 msgs
Achim Zeileis Vector autoregression with Newey-West standard errors Jun 9, 2009 Achim Zeileis Vector autoregression with Newey-West standard errors Jun 9, 2009

Adams, Zeno

Last active: Jun 30, 2009
1 msg
Adams, Zeno Value-at-Risk Jun 30, 2009

Ana Nelson

Last active: Jun 22, 2009
9 msgs
Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 12, 2009 Ana Nelson prices in usd Jun 17, 2009 Ana Nelson RBloomberg with rcom Jun 18, 2009 Ana Nelson RBloomberg with rcom Jun 22, 2009

Anass Mouhsine

Last active: Jun 11, 2009
2 msgs
Anass Mouhsine How to compare two asynchroneous xts time series? Jun 11, 2009 Anass Mouhsine How to compare two asynchroneous xts time series? Jun 11, 2009

Andy Zhu

Last active: Jun 15, 2009
1 msg
Andy Zhu portfolioFrontier nonsense Jun 15, 2009

Anura Karunaratne

Last active: Jun 21, 2009
1 msg
Anura Karunaratne How to pass user name and password via code Jun 21, 2009

Bastian.Offermann at zzgmbh.at

Last active: Jun 15, 2009
2 msgs
Bastian.Offermann at zzgmbh.at Real interest rate data Jun 12, 2009 Bastian.Offermann at zzgmbh.at hands-on book on financial time series with R? Jun 15, 2009

Bengoechea Bartolomé Enrique (SIES 73)

Last active: Jun 15, 2009
1 msg
Bengoechea Bartolomé Enrique (SIES 73) portfolioFrontier nonsense Jun 15, 2009

Brian G. Peterson

Last active: Jun 23, 2009
13 msgs
Brian G. Peterson iterations inside odfWeave Jun 2, 2009 Brian G. Peterson subscripting variable names? Jun 4, 2009 Brian G. Peterson Generating Monthly Returns from a ton of daily data Jun 4, 2009 Brian G. Peterson Interactive Broker API Jun 5, 2009 Brian G. Peterson prices in usd Jun 12, 2009 Brian G. Peterson Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009 Brian G. Peterson Speed optimization on minutes distribution calculation Jun 15, 2009 Brian G. Peterson CQG Gateway for R Jun 16, 2009 Brian G. Peterson Download and parse CME data Jun 17, 2009 Brian G. Peterson chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009 Brian G. Peterson chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009 Brian G. Peterson CQG API Jun 23, 2009 Brian G. Peterson Performance Analytics Jun 23, 2009

Cedrick Johnson

Last active: Jun 18, 2009
4 msgs
Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009 Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009 Cedrick Johnson Generating Monthly Returns from a ton of daily data Jun 4, 2009 Cedrick Johnson Downloading data from specific website Jun 18, 2009

Charles Evans

Last active: Jun 4, 2009
1 msg
Charles Evans subscripting variable names? Jun 4, 2009

Charles Ward

Last active: Jun 7, 2009
1 msg
Charles Ward fPortfolio and R/Rmetrics Jun 7, 2009

Christian Gunning

Last active: Jun 30, 2009
3 msgs
Christian Gunning working levelplot with zoo - surface plot of multivariate time series Jun 2, 2009 Christian Gunning efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 25, 2009 Christian Gunning efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 30, 2009

Christofer Bogaso

Last active: Jun 28, 2009
6 msgs
Christofer Bogaso Newbie question on risk free Interest Rate Jun 1, 2009 Christofer Bogaso Downloading data from specific website Jun 18, 2009 Christofer Bogaso Downloading data from specific website Jun 21, 2009 Christofer Bogaso How to create seasonal variable for zoo object. Jun 21, 2009 Christofer Bogaso How to create seasonal variable for zoo object. Jun 21, 2009 Christofer Bogaso re[R-sig-finance] commended books Jun 28, 2009

Daniel Mail

Last active: Jun 8, 2009
2 msgs
Daniel Mail Fix ARMA parameters in garchfit Jun 7, 2009 Daniel Mail Fix ARMA parameters in garchfit Jun 8, 2009

Diethelm Wuertz

Last active: Jun 12, 2009
2 msgs
Diethelm Wuertz R/Rmetrics ebook and Meielisalp Workshop Jun 5, 2009 Diethelm Wuertz portfolioFrontier nonsense Jun 12, 2009

Dirk Eddelbuettel

Last active: Jun 17, 2009
6 msgs
Dirk Eddelbuettel Generating Monthly Returns from a ton of daily data Jun 4, 2009 Dirk Eddelbuettel Interactive Broker API Jun 5, 2009 Dirk Eddelbuettel Business day conventions Jun 10, 2009 Dirk Eddelbuettel Business day conventions Jun 15, 2009 Dirk Eddelbuettel CQG Gateway for R Jun 16, 2009 Dirk Eddelbuettel zoo plotting - invalid 'ylim' value Jun 17, 2009

Eric Zivot

Last active: Jun 17, 2009
1 msg
Eric Zivot Vasicek model estimation via linear regression Jun 17, 2009

Eugene Tyurin

Last active: Jun 2, 2009
2 msgs
Eugene Tyurin iterations inside odfWeave Jun 2, 2009 Eugene Tyurin iterations inside odfWeave Jun 2, 2009

FMH

Last active: Jun 22, 2009
1 msg
FMH standard error and p-value for the estimated parameter in AR model Jun 22, 2009

Gabor Grothendieck

Last active: Jun 26, 2009
17 msgs
Gabor Grothendieck Package Quantmod: reading csv files Jun 4, 2009 Gabor Grothendieck fPortfolio and R/Rmetrics Jun 7, 2009 Gabor Grothendieck Sharpe ratio in tseries Jun 15, 2009 Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009 Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009 Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009 Gabor Grothendieck zoo plotting - invalid 'ylim' value Jun 17, 2009 Gabor Grothendieck Downloading data from specific website Jun 18, 2009 Gabor Grothendieck how to read in this time series csv file with both dates and times? Jun 21, 2009 Gabor Grothendieck Downloading data from specific website Jun 21, 2009 Gabor Grothendieck How to create seasonal variable for zoo object. Jun 21, 2009 Gabor Grothendieck How to create seasonal variable for zoo object. Jun 21, 2009 Gabor Grothendieck How to compare two asynchroneous xts time series? Jun 22, 2009 Gabor Grothendieck How to compare two asynchroneous xts time series? Jun 22, 2009 Gabor Grothendieck how to read in this time series csv file with both dates and times? Jun 22, 2009 Gabor Grothendieck efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 26, 2009 Gabor Grothendieck recommended books Jun 26, 2009

Ian Coe

Last active: Jun 22, 2009
5 msgs
Ian Coe prices in usd Jun 11, 2009 Ian Coe prices in usd Jun 11, 2009 Ian Coe prices in usd Jun 12, 2009 Ian Coe prices in usd Jun 12, 2009 Ian Coe RBloomberg with rcom Jun 22, 2009

James Long

Last active: Jun 17, 2009
1 msg
James Long Download and parse CME data Jun 17, 2009

Jeff Ryan

Last active: Jun 30, 2009
15 msgs
Jeff Ryan Surface plot of multivariate time series Jun 2, 2009 Jeff Ryan retrieving option info from IB Jun 4, 2009 Jeff Ryan retrieving option info from IB Jun 4, 2009 Jeff Ryan Interactive Broker API Jun 5, 2009 Jeff Ryan Interactive Broker API Jun 5, 2009 Jeff Ryan How to compare two asynchroneous xts time series? Jun 11, 2009 Jeff Ryan buildModel in quantmod issue Jun 12, 2009 Jeff Ryan Sharpe ratio in tseries Jun 15, 2009 Jeff Ryan Finance Data Jun 15, 2009 Jeff Ryan Speed optimization on minutes distribution calculation Jun 15, 2009 Jeff Ryan Speed optimization on minutes distribution calculation Jun 15, 2009 Jeff Ryan in xts behavior of to.minutes() and to.period() Jun 24, 2009 Jeff Ryan in xts behavior of to.minutes() and to.period() Jun 24, 2009 Jeff Ryan Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009 Jeff Ryan applying na.locf to xts objects sometimes crashes R Jun 30, 2009

John C Frain

Last active: Jun 4, 2009
1 msg
John C Frain A question on VECM Jun 4, 2009

John Kerpel

Last active: Jun 18, 2009
1 msg
John Kerpel Least Square estimate of Multi-variate time series data Jun 18, 2009

Joshua Reich

Last active: Jun 16, 2009
1 msg
Joshua Reich Fundamental analysis library? Jun 16, 2009

Joshua Ulrich

Last active: Jun 29, 2009
14 msgs
Joshua Ulrich TTR Stochastics function - internal smoothing Jun 1, 2009 Joshua Ulrich iterations inside odfWeave Jun 2, 2009 Joshua Ulrich Package Quantmod: reading csv files Jun 4, 2009 Joshua Ulrich Generating Monthly Returns from a ton of daily data Jun 4, 2009 Joshua Ulrich Interactive Broker API Jun 5, 2009 Joshua Ulrich Interactive Broker API Jun 5, 2009 Joshua Ulrich How to compare two asynchroneous xts time series? Jun 11, 2009 Joshua Ulrich How to compare two asynchroneous xts time series? Jun 11, 2009 Joshua Ulrich How to pass user name and password via code Jun 21, 2009 Joshua Ulrich Backtesting framework package Jun 23, 2009 Joshua Ulrich in xts behavior of to.minutes() and to.period() Jun 24, 2009 Joshua Ulrich in xts behavior of to.minutes() and to.period() Jun 24, 2009 Joshua Ulrich efficient extraction of local extrema and zero-crossings in large multivariate zoo? Jun 25, 2009 Joshua Ulrich Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009

KAUSHIK BHATTACHARJEE

Last active: Jun 15, 2009
1 msg
KAUSHIK BHATTACHARJEE Hi this is not a R-problem per se but an econometric problem of course Jun 15, 2009

Kenneth Spriggs

Last active: Jun 28, 2009
6 msgs
Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009 Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009 Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009 Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009 Kenneth Spriggs in xts behavior of to.minutes() and to.period() Jun 24, 2009 Kenneth Spriggs Name of output column xts vs. dataframe using ifelse statement Jun 28, 2009

Khanh Nguyen

Last active: Jun 20, 2009
5 msgs
Khanh Nguyen zoo plotting - invalid 'ylim' value Jun 17, 2009 Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009 Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009 Khanh Nguyen chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009 Khanh Nguyen how to compute the daily return? Jun 20, 2009

Liviu Andronic

Last active: Jun 28, 2009
6 msgs
Liviu Andronic determine non-linear correlation Jun 3, 2009 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 9, 2009 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009 Liviu Andronic Vector autoregression with Newey-West standard errors Jun 10, 2009 Liviu Andronic re[R-sig-finance] commended books Jun 28, 2009

Mark Breman

Last active: Jun 12, 2009
8 msgs
Mark Breman determine non-linear correlation Jun 3, 2009 Mark Breman determine non-linear correlation Jun 4, 2009 Mark Breman determine non-linear correlation Jun 5, 2009 Mark Breman determine non-linear correlation Jun 5, 2009 Mark Breman determine non-linear correlation Jun 6, 2009 Mark Breman determine non-linear correlation Jun 9, 2009 Mark Breman determine non-linear correlation Jun 10, 2009 Mark Breman Return.calculate strange results? Jun 12, 2009

Mark Leeds

Last active: Jun 28, 2009
7 msgs
Mark Leeds Newbie question on risk free Interest Rate Jun 1, 2009 Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009 Mark Leeds Vasicek model estimation via linear regression Jun 17, 2009 Mark Leeds standard error and p-value for the estimated parameter in AR model Jun 22, 2009 Mark Leeds standard error and p-value for the estimated parameter in AR model Jun 22, 2009 Mark Leeds Creating a VCEM data generating process Jun 28, 2009 Mark Leeds Creating a VCEM data generating process Jun 28, 2009

Matthias Kohl

Last active: Jun 2, 2009
1 msg
Matthias Kohl iterations inside odfWeave Jun 2, 2009

Matthias.Koberstein at hsbctrinkaus.de

Last active: Jun 2, 2009
1 msg
Matthias.Koberstein at hsbctrinkaus.de Antwort: Re: [R-sig-finance] Newbie question on risk free Interest Rate Jun 2, 2009

Matthieu Stigler

Last active: Jun 30, 2009
6 msgs
Matthieu Stigler determine non-linear correlation Jun 5, 2009 Matthieu Stigler Vector autoregression with Newey-West standard errors Jun 9, 2009 Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 22, 2009 Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 22, 2009 Matthieu Stigler standard error and p-value for the estimated parameter in AR model Jun 23, 2009 Matthieu Stigler Creating a VCEM data generating process Jun 30, 2009

Megh Dal

Last active: Jun 2, 2009
4 msgs
Megh Dal Surface plot of multivariate time series Jun 1, 2009 Megh Dal Surface plot of multivariate time series Jun 2, 2009 Megh Dal Surface plot of multivariate time series Jun 2, 2009 Megh Dal Surface plot of multivariate time series Jun 2, 2009

Menezes, Ian

Last active: Jun 12, 2009
1 msg
Menezes, Ian buildModel in quantmod issue Jun 12, 2009

Michael

Last active: Jun 22, 2009
4 msgs
Michael hands-on book on financial time series with R? Jun 15, 2009 Michael how to compute the daily return? Jun 20, 2009 Michael how to read in this time series csv file with both dates and times? Jun 20, 2009 Michael how to read in this time series csv file with both dates and times? Jun 22, 2009

Patrick Burns

Last active: Jun 29, 2009
1 msg
Patrick Burns re[R-sig-finance] commended books Jun 29, 2009

Paul Gilbert

Last active: Jun 2, 2009
1 msg
Paul Gilbert Surface plot of multivariate time series Jun 2, 2009

Peter Carl

Last active: Jun 17, 2009
1 msg
Peter Carl chart.PerformanceAnalytics(), character string is not in a standard unambiguous format Jun 17, 2009

Pfaff, Bernhard Dr.

Last active: Jun 16, 2009
3 msgs
Pfaff, Bernhard Dr. A question on VECM Jun 3, 2009 Pfaff, Bernhard Dr. A question on VECM Jun 4, 2009 Pfaff, Bernhard Dr. hands-on book on financial time series with R? Jun 16, 2009

Phil Joubert

Last active: Jun 10, 2009
1 msg
Phil Joubert Business day conventions Jun 10, 2009

R P Herrold

Last active: Jun 5, 2009
2 msgs
R P Herrold Interactive Broker API Jun 5, 2009 R P Herrold Interactive Broker API Jun 5, 2009

R_help Help

Last active: Jun 29, 2009
2 msgs
R_help Help Backtesting framework package Jun 23, 2009 R_help Help Help on constrained regression Jun 29, 2009

Robert Iquiapaza

Last active: Jun 15, 2009
3 msgs
Robert Iquiapaza determine non-linear correlation Jun 5, 2009 Robert Iquiapaza Return.calculate strange results? Jun 12, 2009 Robert Iquiapaza hands-on book on financial time series with R? Jun 15, 2009

Robert Sams

Last active: Jun 12, 2009
1 msg
Robert Sams prices in usd Jun 12, 2009

Roberto Osorio

Last active: Jun 23, 2009
1 msg
Roberto Osorio Asynchronous xts time series Jun 23, 2009

Rohit Garg

Last active: Jun 18, 2009
1 msg
Rohit Garg Least Square estimate of Multi-variate time series data Jun 18, 2009

Ron Michael

Last active: Jun 28, 2009
8 msgs
Ron Michael A question on VECM Jun 3, 2009 Ron Michael A question on VECM Jun 4, 2009 Ron Michael A question on VECM Jun 4, 2009 Ron Michael A question on VECM Jun 4, 2009 Ron Michael A question on VECM Jun 4, 2009 Ron Michael Creating a VCEM data generating process Jun 28, 2009 Ron Michael Creating a VCEM data generating process Jun 28, 2009 Ron Michael Creating a VCEM data generating process Jun 28, 2009

Samuel Kemp

Last active: Jun 23, 2009
1 msg
Samuel Kemp CQG API Jun 23, 2009

Schaeffer, Derek BGI SF

Last active: Jun 17, 2009
1 msg
Schaeffer, Derek BGI SF Vasicek model estimation via linear regression Jun 17, 2009

Sean Carmody

Last active: Jun 10, 2009
1 msg
Sean Carmody quantmod error downloading .AORD data Jun 10, 2009

Sean Jewell

Last active: Jun 23, 2009
1 msg
Sean Jewell Performance Analytics Jun 23, 2009

Shane Conway

Last active: Jun 2, 2009
1 msg
Shane Conway Surface plot of multivariate time series Jun 2, 2009

Spencer Graves

Last active: Jun 30, 2009
11 msgs
Spencer Graves How to compare two asynchroneous xts time series? Jun 11, 2009 Spencer Graves prices in usd Jun 12, 2009 Spencer Graves prices in usd Jun 12, 2009 Spencer Graves prices in usd Jun 12, 2009 Spencer Graves Business day conventions Jun 14, 2009 Spencer Graves Real interest rate data Jun 14, 2009 Spencer Graves hands-on book on financial time series with R? Jun 15, 2009 Spencer Graves zoo plotting - invalid 'ylim' value Jun 17, 2009 Spencer Graves Basic Mean Variance Optimization Jun 27, 2009 Spencer Graves SPS and QLPM portfolios Jun 29, 2009 Spencer Graves Fundamental analysis library? Jun 30, 2009

Stanley Neo

Last active: Jun 2, 2009
4 msgs
Stanley Neo TTR Stochastics function - internal smoothing May 31, 2009 Stanley Neo TTR Stochastics function - internal smoothing Jun 1, 2009 Stanley Neo R-SIG-Finance Digest, Vol 61, Issue 2 Jun 2, 2009 Stanley Neo Newbie question on risk free Interest Rate Jun 2, 2009

Stefan Grosse

Last active: Jun 4, 2009
1 msg
Stefan Grosse determine non-linear correlation Jun 4, 2009

Stefan Janse van Rensburg

Last active: Jun 30, 2009
2 msgs
Stefan Janse van Rensburg recommended books Jun 26, 2009 Stefan Janse van Rensburg recommended books Jun 30, 2009

Subhrangshu Nandi

Last active: Jun 15, 2009
2 msgs
Subhrangshu Nandi Sharpe ratio in tseries Jun 15, 2009 Subhrangshu Nandi Sharpe ratio in tseries Jun 15, 2009

Valentin Dimitrov

Last active: Jun 2, 2009
1 msg
Valentin Dimitrov skew normal cond.dist in fGarch::garchFit Jun 2, 2009

Wei-han Liu

Last active: Jun 30, 2009
1 msg
Wei-han Liu Value-at-Risk Jun 30, 2009

Wind

Last active: Jun 16, 2009
9 msgs
Wind client id issue with IBrokers Jun 4, 2009 Wind retrieving option info from IB Jun 4, 2009 Wind retrieving option info from IB Jun 4, 2009 Wind retrieving option info from IB Jun 4, 2009 Wind re[R-sig-finance] trieving option info from IB Jun 10, 2009 Wind quantmod error downloading .AORD data Jun 10, 2009 Wind Speed optimization on minutes distribution calculation Jun 15, 2009 Wind Speed optimization on minutes distribution calculation Jun 15, 2009 Wind Speed optimization on minutes distribution calculation Jun 16, 2009

Zanella Marco

Last active: Jun 17, 2009
1 msg
Zanella Marco Vasicek model estimation via linear regression Jun 17, 2009

anass

Last active: Jun 22, 2009
4 msgs
anass Package Quantmod: reading csv files Jun 4, 2009 anass Package Quantmod: reading csv files Jun 4, 2009 anass How to compare two asynchroneous xts time series? Jun 11, 2009 anass How to compare two asynchroneous xts time series? Jun 22, 2009

burke nersesian

Last active: Jun 15, 2009
1 msg
burke nersesian Basic Mean Variance Optimization Jun 15, 2009

davidr at rhotrading.com

Last active: Jun 30, 2009
1 msg
davidr at rhotrading.com applying na.locf to xts objects sometimes crashes R Jun 30, 2009

ksspriggs at gmail.com

Last active: Jun 29, 2009
1 msg
ksspriggs at gmail.com Name of output column xts vs. dataframe using ifelse statement Jun 29, 2009

malcolm Crouch

Last active: Jun 15, 2009
1 msg
malcolm Crouch Finance Data Jun 15, 2009

manulemalin

Last active: Jun 6, 2009
1 msg
manulemalin determine non-linear correlation Jun 6, 2009

ssmith88 at umd.edu

Last active: Jun 23, 2009
5 msgs
ssmith88 at umd.edu portfolioFrontier nonsense Jun 12, 2009 ssmith88 at umd.edu portfolioFrontier nonsense Jun 13, 2009 ssmith88 at umd.edu portfolioFrontier nonsense Jun 15, 2009 ssmith88 at umd.edu SPS and QLPM portfolios Jun 15, 2009 ssmith88 at umd.edu Performance Analytics Jun 23, 2009

zubin

Last active: Jun 5, 2009
1 msg
zubin Interactive Broker API Jun 5, 2009