R-SIG-Finance April 2013

fitting AR-GARCH model to data with seasonal variation in FGARCH.

2 msgs Apr 30

O

Owusu Darko fitting AR-GARCH model to data with seasonal variation in FGARCH. Apr 28, 2013

O

Owusu Darko FITTING AR-GARCH model to data with specified AR terms. Apr 30, 2013

CLEAN price of Bond in r

1 msg Apr 30

P

Paul Teetor CLEAN price of Bond in r Apr 30, 2013

CLEAN price of Bond in r

1 msg Apr 30

maximizing the returns to a portfolio given a target risk

1 msg Apr 30

A

Alok Shah maximizing the returns to a portfolio given a target risk Apr 30, 2013

Question on QuantStrat

1 msg Apr 30

D

Deo Jaiswal Question on QuantStrat Apr 30, 2013

Issues about "maCross" demo in Quantstrat

2 msgs Apr 28

J

John Han Issues about "maCross" demo in Quantstrat Apr 28, 2013

M

Mark Knecht Issues about "maCross" demo in Quantstrat Apr 28, 2013

robust estimation of DCC GARCH model

1 msg Apr 28

A

ahmed sedky robust estimation of DCC GARCH model Apr 28, 2013

quantStrat/blotter for R-3.0.0?

3 msgs Apr 25

M

Mark Knecht quantStrat/blotter for R-3.0.0? Apr 25, 2013

R

R. Michael Weylandt quantStrat/blotter for R-3.0.0? Apr 25, 2013

C

Chinmay Patil quantStrat/blotter for R-3.0.0? Apr 25, 2013

rmgarch package

2 msgs Apr 25

E

Elizabeth Howard rmgarch package Apr 25, 2013

A

Alexios Ghalanos rmgarch package Apr 25, 2013

Length of a curve?

3 msgs Apr 24

W

wlblount Length of a curve? Apr 24, 2013

R

R. Michael Weylandt Length of a curve? Apr 24, 2013

R

R. Michael Weylandt Length of a curve? Apr 24, 2013

Error in quantmod getOptionChain()

2 msgs Apr 23

R

Rock Pereira Error in quantmod getOptionChain() Apr 22, 2013

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Jeff Ryan Error in quantmod getOptionChain() Apr 23, 2013

RBBG bdp function with override

3 msgs Apr 22

F

fabien azoulay RBBG bdp function with override Apr 22, 2013

J

John Laing RBBG bdp function with override Apr 22, 2013

F

fabien azoulay RBBG bdp function with override Apr 22, 2013

Stocks outperforming their index

2 msgs Apr 22

A

Arturo DiDonna Stocks outperforming their index Apr 22, 2013

R

R. Michael Weylandt Stocks outperforming their index Apr 22, 2013

(no subject)

1 msg Apr 22

V

Varshney, Amit (no subject) Apr 22, 2013

Gini Coefficient and Coefficient of Concordance

1 msg Apr 21

K

Katherine Gobin Gini Coefficient and Coefficient of Concordance Apr 21, 2013

quantstrat spread parameter sweep problem

3 msgs Apr 21

R

Rob Schmidt quantstrat spread parameter sweep problem Apr 20, 2013

B

Brian G. Peterson quantstrat spread parameter sweep problem Apr 20, 2013

R

Rob Schmidt quantstrat spread parameter sweep problem Apr 21, 2013

Using adf.test to test time series stationarity of stock price

2 msgs Apr 21

Y

Yitao Zhang Using adf.test to test time series stationarity of stock price Apr 21, 2013

B

Brian G. Peterson Using adf.test to test time series stationarity of stock price Apr 21, 2013

reqHistoricalData for comboLeg

3 msgs Apr 20

N

Niklas K reqHistoricalData for comboLeg Apr 20, 2013

J

Jeff Ryan reqHistoricalData for comboLeg Apr 20, 2013

N

Niklas K reqHistoricalData for comboLeg Apr 20, 2013

Using getSymbol in a R function

2 msgs Apr 19

Y

Yitao Zhang Using getSymbol in a R function Apr 19, 2013

I

Ivan Popivanov Using getSymbol in a R function Apr 19, 2013

quantmod newbie xts example

1 msg Apr 19

R

Rob Schmidt quantmod newbie xts example Apr 19, 2013

FIGARCH estimation and simulation

1 msg Apr 19

J

Jesper Hybel Pedersen FIGARCH estimation and simulation Apr 19, 2013

precision of data download in rbbg/rbloomberg

7 msgs Apr 19

A

Aidan Corcoran precision of data download in rbbg/rbloomberg Apr 19, 2013

J

John Laing precision of data download in rbbg/rbloomberg Apr 19, 2013

A

Aidan Corcoran precision of data download in rbbg/rbloomberg Apr 19, 2013

J

Jeff Ryan precision of data download in rbbg/rbloomberg Apr 19, 2013

J

John Laing precision of data download in rbbg/rbloomberg Apr 19, 2013

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Whit Armstrong precision of data download in rbbg/rbloomberg Apr 19, 2013

A

Aidan Corcoran precision of data download in rbbg/rbloomberg Apr 19, 2013

Is this the place for reporting quantmod (and other packages) bugs?

1 msg Apr 18

I

Ivan Popivanov Is this the place for reporting quantmod (and other packages) bugs? Apr 18, 2013

saveChart don't work in Quantmod package

4 msgs Apr 18

S

Sávio Ramos saveChart don't work in Quantmod package Apr 17, 2013

J

Joshua Ulrich saveChart don't work in Quantmod package Apr 17, 2013

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Joshua Ulrich saveChart don't work in Quantmod package Apr 18, 2013

J

Jeff Ryan saveChart don't work in Quantmod package Apr 18, 2013

Using garchFit to fit a model ARMA(2, 2) + GARCH(3, 1)

1 msg Apr 17

T

Thais Azevedo Using garchFit to fit a model ARMA(2, 2) + GARCH(3, 1) Apr 17, 2013

RBBG with R 2.15.2

3 msgs Apr 17

A

ArvanitisCh at piraeusbank.gr RBBG with R 2.15.2 Apr 17, 2013

J

John Laing RBBG with R 2.15.2 Apr 17, 2013

P

Paul Gilbert RBBG with R 2.15.2 Apr 17, 2013

Rbbg in R 3.0.0

4 msgs Apr 16

D

David Reiner Rbbg in R 3.0.0 Apr 15, 2013

G

George Wang Rbbg in R 3.0.0 Apr 16, 2013

J

John Laing Rbbg in R 3.0.0 Apr 16, 2013

D

David Reiner Rbbg in R 3.0.0 Apr 16, 2013

Error in highfrequency package

1 msg Apr 15

G

Gaurav Raizada Error in highfrequency package Apr 15, 2013

Trying to get earth models to (better) match those from other tools

1 msg Apr 15

M

Mark Knecht Trying to get earth models to (better) match those from other tools Apr 15, 2013

email a data.frame as part of a small example?

3 msgs Apr 15

M

Mark Knecht email a data.frame as part of a small example? Apr 15, 2013

Z

Zachary Mayer email a data.frame as part of a small example? Apr 15, 2013

M

Mark Knecht email a data.frame as part of a small example? Apr 15, 2013

Fitting and testing copula-functions

2 msgs Apr 15

N

ngm Fitting and testing copula-functions Apr 14, 2013

J

JohnnyPaper Fitting and testing copula-functions Apr 15, 2013

Stock Return (Fitting a Copula)

1 msg Apr 14

N

ngm Stock Return (Fitting a Copula) Apr 14, 2013

quantstrat: NA for "Order.Prefer" for a stoptrailing order

3 msgs Apr 14

I

Ivan Popivanov quantstrat: NA for "Order.Prefer" for a stoptrailing order Apr 14, 2013

J

Joshua Ulrich quantstrat: NA for "Order.Prefer" for a stoptrailing order Apr 14, 2013

I

Ivan Popivanov quantstrat: NA for "Order.Prefer" for a stoptrailing order Apr 14, 2013

quantstrat: A bug in rules.R for stoplimits?

2 msgs Apr 14

I

Ivan Popivanov quantstrat: A bug in rules.R for stoplimits? Apr 13, 2013

J

Joshua Ulrich quantstrat: A bug in rules.R for stoplimits? Apr 14, 2013

help on smoothing volatility surface..

1 msg Apr 13

M

michael.weylandt at gmail.com (R. Michael Weylandt help on smoothing volatility surface.. Apr 13, 2013

quantstrat add.indicator change (mktdata) to (mktdata)[, 1]

2 msgs Apr 13

R

Rob Schmidt quantstrat add.indicator change (mktdata) to (mktdata)[, 1] Apr 13, 2013

B

Brian G. Peterson quantstrat add.indicator change (mktdata) to (mktdata)[, 1] Apr 13, 2013

R-SIG-Finance Digest, Vol 107, Issue 11

2 msgs Apr 13

N

Nikos Rachmanis R-SIG-Finance Digest, Vol 107, Issue 11 Apr 13, 2013

D

Dominykas Grigonis R-SIG-Finance Digest, Vol 107, Issue 11 Apr 13, 2013

euro call by integration

4 msgs Apr 13

D

Dominykas Grigonis euro call by integration Apr 12, 2013

E

Enrico Schumann euro call by integration Apr 13, 2013

K

Krishna Kumar euro call by integration Apr 13, 2013

D

Dominykas Grigonis euro call by integration Apr 13, 2013

GARCH option valuation

1 msg Apr 11

O

Oleg Mubarakshin GARCH option valuation Apr 11, 2013

Base R question on XTS object

4 msgs Apr 10

W

wlblount Base R question on XTS object Apr 10, 2013

J

Joshua Ulrich Base R question on XTS object Apr 10, 2013

B

Brian G. Peterson Base R question on XTS object Apr 10, 2013

R

R. Michael Weylandt Base R question on XTS object Apr 10, 2013

Fitting distributions to financial data using volatility model to estimate VaR

3 msgs Apr 9

R

R. Michael Weylandt Fitting distributions to financial data using volatility model to estimate VaR Apr 9, 2013

A

Alexios Ghalanos Fitting distributions to financial data using volatility model to estimate VaR Apr 9, 2013

A

Alexios Ghalanos Fitting distributions to financial data using volatility model to estimate VaR Apr 9, 2013

Maximum likelihood estimation of ARMA(1, 1)-GARCH(1, 1)

1 msg Apr 9

R

R. Michael Weylandt Maximum likelihood estimation of ARMA(1, 1)-GARCH(1, 1) Apr 9, 2013

Help with iBrokers data

3 msgs Apr 9

W

wlblount Help with iBrokers data Apr 8, 2013

G

G See Help with iBrokers data Apr 8, 2013

W

wlblount Help with iBrokers data Apr 9, 2013

error message sending question to the list

2 msgs Apr 6

S

Stat Tistician error message sending question to the list Apr 6, 2013

M

michael.weylandt at gmail.com (R. Michael Weylandt error message sending question to the list Apr 6, 2013

Cross correlation problems

11 msgs Apr 6

R

Rob Schmidt Cross correlation problems Apr 4, 2013

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wlblount Cross correlation problems Apr 5, 2013

R

Rob Schmidt Cross correlation problems Apr 5, 2013

R

Rob Schmidt Cross correlation problems Apr 5, 2013

R

Rob Schmidt Cross correlation problems Apr 5, 2013

W

wlblount Cross correlation problems Apr 5, 2013

B

Brian G. Peterson Cross correlation problems Apr 5, 2013

W

wlblount Cross correlation problems Apr 5, 2013

R

Rob Schmidt Cross correlation problems Apr 5, 2013

W

wlblount Cross correlation problems Apr 5, 2013

R

Rob Schmidt Cross correlation problems Apr 6, 2013

EM algorithm with R manually implemented?

1 msg Apr 6

S

Stat Tistician EM algorithm with R manually implemented? Apr 6, 2013

problems with rugarch

1 msg Apr 3

T

THAIS CRISTINA CHAGAS S AZEVEDO problems with rugarch Apr 3, 2013

Updated Pair Trade Demo

3 msgs Apr 2

R

Rob Schmidt Updated Pair Trade Demo Apr 1, 2013

R

Rob Schmidt Updated Pair Trade Demo Apr 1, 2013

R

Rob Schmidt Updated Pair Trade Demo Apr 2, 2013

Problems with data

1 msg Apr 1

R

Rob Schmidt Problems with data Apr 1, 2013