Displaying 3 results from an estimated 3 matches for "ftse100".
Did you mean:
file100
2011 Dec 17
0
time-varying parameters kalman filter estimation problem using FKF package
...adjusted daily returns on a stock
# let rmt denote daily returns on the appropriate benchmark e.g. SP500
# rt = alphat + betat * rmt + et
# alphat = alphat_1 + n1t
# betat = betat_1 + n2t
# where et ~ N(0,H)
# (n1t,n2t) ~ N(0,Q)
#load required packages
library(tseries)
library(FKF)
# load data
FTSE100 <- get.hist.quote(instrument = "^FTSE", start = "2007-01-01", quote
= "Close", retclass = "zoo", quiet = TRUE)
BP <- get.hist.quote(instrument = "BP", start = "2007-01-01", quote =
"AdjClose", retclass = "zoo", q...
2011 Oct 24
3
new to R coding.
how do I code the following in R. I want to produce a vector where dx=log(
(d(x))/(d(x-1)) ). I can do it for dx=diff(log(x)). I am learning/trying to
model log returns of a stock market index. But instead of using the
difference of the closing values of two consecutive days, i want to use the
log of the quotient of the two days. any help is most appreciated. d is a
vector of the closing values of
2008 Apr 04
4
How can we creat conditional data frame
Hi,
R experts. I am a new user of R and trying to learn this program.
I have a problem. Here is the code.
d<-as.Date(c("2000/01/03","2000/01/05","2000/01/19","2000/01/28"))
r<-rnorm(4)
da<-data.frame(d,r)
a<-as.Date("01/01/2000","%d/%m/%Y")
b<-as.Date("30/01/2000","%d/%m/%Y")
ab<-seq(a,b,by=1)