R-SIG-Finance August 2019

Thread Subject Author Date

11 messages in 6 threads

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DCC model estimation with t-Student distribution rmgarch

1 msg Aug 22

Tommaso Ferrari DCC model estimation with t-Student distribution rmgarch Aug 22, 2019

systematic trading w/ quantstrat

2 msgs Aug 10

Ethan Smith systematic trading w/ quantstrat Aug 10, 2019

Ilya Kipnis systematic trading w/ quantstrat Aug 10, 2019

Understanding fixed.pars of rmgarch

1 msg Aug 7

Tommaso Ferrari Understanding fixed.pars of rmgarch Aug 7, 2019

[PortfolioAnalytics] optimize.portfolio.rebalancing with changing stock universe

4 msgs Aug 6

Joshua Knipe optimize.portfolio.rebalancing with changing stock universe Aug 4, 2019

Brian G. Peterson optimize.portfolio.rebalancing with changing stock universe Aug 4, 2019

Ilya Kipnis optimize.portfolio.rebalancing with changing stock universe Aug 4, 2019

Joshua Knipe optimize.portfolio.rebalancing with changing stock universe Aug 6, 2019

Mothly Returns of Mutual funds

2 msgs Aug 4

Atul Agarawal Mothly Returns of Mutual funds Aug 4, 2019

Brian G. Peterson Mothly Returns of Mutual funds Aug 4, 2019

Replicating TVECM plot

1 msg Aug 1

Eric Berger Replicating TVECM plot Aug 1, 2019