R-SIG-Finance April 2010

Friday, April 30, 2010 3 emails

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Kyle Matoba 'tail' method for its object

F

FaTeR How to include additional explanatory variables in the GARCH variance equation?

B

Benji Famel Output of fExoticOptions

Thursday, April 29, 2010 3 emails

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Wolfgang Wu Blotter - Setting up a futures_series

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Brian G. Peterson Blotter - Setting up a futures_series

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Wolfgang Wu Blotter - Setting up a futures_series

Wednesday, April 28, 2010 5 emails

B

Brian G. Peterson Blotter - Setting up a futures_series

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Wolfgang Wu Blotter - Setting up a futures_series

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Joshua Ulrich quantmod visual feedback from strategy testing

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Brian G. Peterson What are the requirements for instrument names in a blotter portfolio?

K

kafkaz blotter on 15 min data

Tuesday, April 27, 2010 2 emails

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Eddy A. Castillo S. Garch models with heavy tailed errors.

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Ulrich Staudinger Multiple quantmod charts on one plot ?

Monday, April 26, 2010 4 emails

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Robert Nicholson What are the requirements for instrument names in a blotter portfolio?

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Brian G. Peterson What are the requirements for instrument names in a blotter portfolio?

R

Robert Nicholson What are the requirements for instrument names in a blotter portfolio?

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Brian G. Peterson What are the requirements for instrument names in a blotter portfolio?

Sunday, April 25, 2010 5 emails

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Robert Nicholson What are the requirements for instrument names in a blotter portfolio?

R

Robert Nicholson Why is blotter giving me this error?

M

Matthieu Stigler zoo: how to find for series x closest day in series y?

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Gabor Grothendieck zoo: how to find for series x closest day in series y?

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Matthieu Stigler zoo: how to find for series x closest day in series y?

Friday, April 23, 2010 6 emails

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Gabor Grothendieck zoo: how to find for series x closest day in series y?

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Matthieu Stigler zoo: how to find for series x closest day in series y?

B

Brian G. Peterson Problem with modified Var in PerformanceAnalytics?

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Gabor Grothendieck zoo: how to find for series x closest day in series y?

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Gabor Grothendieck zoo: how to find for series x closest day in series y?

M

Matthieu Stigler zoo: how to find for series x closest day in series y?

Wednesday, April 21, 2010 8 emails

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Diethelm Wuertz timeSeries Error

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Diethelm Wuertz fPortfolio - SOCP not available?

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Heiko Mayer fPortfolio - SOCP not available?

B

Brian G. Peterson A Value at Risk question

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Christofer Bogaso A Value at Risk question

A

Attiglah, Mama timeSeries Error

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Research ttrTests cReturns and SMA rule

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Sergey Goriatchev Problem with modified Var in PerformanceAnalytics?

Tuesday, April 20, 2010 3 emails

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Sarbo Multiple quantmod charts on one plot ?

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Jeff Ryan Multiple quantmod charts on one plot ?

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Ulrich Staudinger Multiple quantmod charts on one plot ?

Monday, April 19, 2010 2 emails

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Gabor Grothendieck How to use zooreg and zoo in same plot?

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Matthieu Stigler How to use zooreg and zoo in same plot?

Sunday, April 18, 2010 5 emails

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Achim Zeileis A zoo question: what does this warning mean?

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Gabor Grothendieck A zoo question: what does this warning mean?

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Ajay Shah A zoo question: what does this warning mean?

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Christofer Bogaso A Value at Risk question

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Christofer Bogaso A Value at Risk question

Saturday, April 17, 2010 18 emails

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Konrad Hoppe GARCH - Models

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Sarbo GARCH - Models

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Konrad Hoppe GARCH - Models

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Konrad Hoppe GARCH - Models

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Sarbo GARCH - Models

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Peter Keller Problem with solver solveRquadprog in fPortfolio

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Joshua Ulrich Problem with solver solveRquadprog in fPortfolio

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Konrad Hoppe GARCH - Models

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Peter Keller Problem with solver solveRquadprog in fPortfolio

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Sarbo Problem with solver solveRquadprog in fPortfolio

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Peter Keller Problem with solver solveRquadprog in fPortfolio

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Sarbo Problem with solver solveRquadprog in fPortfolio

P

Peter Keller Problem with solver solveRquadprog in fPortfolio

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Sarbo Estimation of Hull-White One -Factor Model‏

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Yohan Chalabi Problem with solver solveRquadprog in fPortfolio

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Sarbo nearest correlation matrix

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Peter Keller Problem with solver solveRquadprog in fPortfolio

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Sarbo GARCH - Models

Friday, April 16, 2010 12 emails

I

Immanuel quantmod visual feedback from strategy testing ( plain text )

I

Immanuel quantmod visual feedback from strategy testing

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Konrad Hoppe GARCH - Models

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Chiquoine, Ben nearest correlation matrix

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Enrico Schumann nearest correlation matrix

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Parodi, Pietro nearest correlation matrix

A

Arun Kumar Saha restrictions on cointegration relations - urca package

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Gautier RENAULT restrictions on cointegration relations - urca package

邓

邓一硕 (no subject)

五

五月河 (no subject)

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Matthieu Stigler BEKK help?

五

五月河 BEKK help?

Thursday, April 15, 2010 16 emails

C

Charlotte Maia Weighted Sums of Dependent Random Variables

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Immanuel Re How to install latest version of quantmod?

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Jeff Ryan Re How to install latest version of quantmod?

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Immanuel Re How to install latest version of quantmod?

J

Jeff Ryan How to install latest version of quantmod?

I

Immanuel How to install latest version of quantmod?

B

Brian G. Peterson package PerformanceAnalytics v1.0.2 released to CRAN

五

五月河 BEKK help?

B

Brian G. Peterson Portfolio Optimization with Non-linear Transaction Cost in RMetrics

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thorsten schmidt Portfolio Optimization with Non-linear Transaction Cost in RMetrics

邓

邓一硕 BEKK help?

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Piotr Chmielowski rbloomberg error when requesting data

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Ana Nelson rbloomberg error when requesting data

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Piotr Chmielowski rbloomberg error when requesting data

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Sarbo BEKK help?

五

五月河 BEKK help?

Wednesday, April 14, 2010 2 emails

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mapirlo at libero.it restrictions on cointegration relations - urca package

K

kafkaz blotter on 15 min data

Tuesday, April 13, 2010 16 emails

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Worik Stanton Testing existence in xts

B

Brian G. Peterson blotter on 15 min data

J

Jeff Ryan Testing existence in xts

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Worik Stanton Testing existence in xts

K

kafkaz blotter on 15 min data

A

Ana Nelson sudden problem with RBloomberg

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Sergey Goriatchev sudden problem with RBloomberg

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Sergey Goriatchev sudden problem with RBloomberg

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Sergey Goriatchev sudden problem with RBloomberg

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Sergey Goriatchev sudden problem with RBloomberg

A

Ana Nelson sudden problem with RBloomberg

K

Konrad Hoppe p-values of garch models

P

Patrick Burns p-values of garch models

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Sergey Goriatchev sudden problem with RBloomberg

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Matthieu Stigler p-values of garch models

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Konrad Hoppe p-values of garch models

Monday, April 12, 2010 5 emails

B

Brian G. Peterson p-values of garch models

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Konrad Hoppe p-values of garch models

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Robert Sams Where to get historical quotes for LIBOR quotes (other than Economagic)

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Ron Michael Where to get historical quotes for LIBOR quotes (other than Economagic)

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Jeff Ryan R/Finance 2010 April 16th and 17th 2010 THIS WEEK in Chicago!

Sunday, April 11, 2010 3 emails

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邓一硕 How to fit BEKK model with R?

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Brian G. Peterson How to fit BEKK model with R?

邓

邓一硕 How to fit BEKK model with R?

Saturday, April 10, 2010 6 emails

S

Sarbo p-values of garch models

S

Sarbo Two x and two y vectors in one X_Y coordinate system graph

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Sarbo Two x and two y vectors in one X-Y coordinate system graph

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Cedrick Johnson Two x and two y vectors in one X-Y coordinatesystem graph

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Rajat Tayal Two x and two y vectors in one X-Y coordinate system graph

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Rajat Tayal Two x and two y vectors in one X_Y coordinate system graph

Friday, April 9, 2010 10 emails

K

Konrad Hoppe p-values of garch models

A

Alexios Ghalanos GARCH estimation with exogenous variables in the mean equation

C

Changyou Sun GARCH estimation with exogenous variables in the mean equation

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Samuel.Meichtry at bkw-fmb.ch RBloomberg blpConnect() not responding

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Gabor Grothendieck N'th of month working day problem

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Research N'th of month working day problem

A

Ana Nelson RBloomberg blpConnect() not responding

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Samuel.Meichtry at bkw-fmb.ch RBloomberg blpConnect() not responding

A

Ana Nelson RBloomberg blpConnect() not responding

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Samuel.Meichtry at bkw-fmb.ch RBloomberg blpConnect() not responding

Thursday, April 8, 2010 1 email

P

patzoul how to manually add data in a timeseries?

Wednesday, April 7, 2010 8 emails

B

Brian G. Peterson how to manually add data in a timeseries?

P

patzoul how to manually add data in a timeseries?

B

Brian G. Peterson how to manually add data in a timeseries?

P

patzoul how to manually add data in a timeseries?

M

Mark Knecht Estimating volume at price for backtest data bars?

M

Mark Leeds Estimating volume at price for backtest data bars?

B

Brian G. Peterson using "to.weekly" on a zoo object

B

Brian G. Peterson Estimating volume at price for backtest data bars?

Tuesday, April 6, 2010 10 emails

M

Mark Breman using "to.weekly" on a zoo object

H

Hodgess, Erin using "to.weekly" on a zoo object

M

Mark Knecht Estimating volume at price for backtest data bars?

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Jeff Ryan subsetting from timeSeries

J

Jeff Ryan subsetting from timeSeries

J

Jeff Ryan subsetting from timeSeries

B

Brian G. Peterson subsetting from timeSeries

C

Cedrick Johnson subsetting from timeSeries

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Jeff D. Hamann subsetting from timeSeries

A

Ana Nelson Java-based RBloomberg - early adopters wanted for testing

Friday, April 2, 2010 5 emails

J

Jeff Ryan Derivative of a smooth function

G

Gautier RENAULT VECM problem with exogenous components

S

Sarbo Derivative of a smooth function

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Sarbo Derivative of a smooth function

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FMH Derivative of a smooth function

Thursday, April 1, 2010 12 emails

A

Arun Kumar Saha Appropriate lag length in VAR/VECM

P

Paul Gilbert Simulating VAR model (re-post)

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KAUSHIK BHATTACHARJEE Appropriate lag length in VAR/VECM

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Gabor Grothendieck Re-Post: Performance Analytics Style Analysis

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René Naarmann Re-Post: Performance Analytics Style Analysis

C

CHIH-HAO CHIEN Estimation of Hull-White One -Factor Model‏

G

Gabor Grothendieck Combine two incomplete zoo object (with NAs) in one zoo series

J

Joshua Ulrich Combine two incomplete zoo object (with NAs) in one zoo series

P

Pierre Lapointe Combine two incomplete zoo object (with NAs) in one zoo series

P

Pfaff, Bernhard Dr. VECM problem with exogenous components

M

Matthieu Stigler Simulating VAR model (re-post)

C

Cedrick Johnson Simulating VAR model (re-post)

Wednesday, March 31, 2010 1 email

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Gabor Grothendieck plot log scale on y axis using zoo object (with plot.zoo)