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The following paper may be of interest to some. The author is generous about sharing a recently revised version. <A HREF="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=259648">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=259648</A> [[alternative HTML version deleted]]

...roblem and get new alphas and betas... /(FOR INFORMATION: excess return without ammendements for ARCH effects is given as: ?t=Ri,t-alpha(from regression)-beta(from regression)*Rm,t)/ There is a paper which does this in a simple manner (see page 12 and 13 of http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1100573 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1100573 ). It is described as follows: Ri=alpha(arch)+beta(arch)*Rm,i+et et=thetat*sqrt(h) h=lamda(0)+lamda(1)*e(t-1)^2 ##e are the residuals of the ols regression Thus my question is now: How can I regress this? Ri=alpha(arch)+beta(arc...

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...the company desn) / And now I am stuck. For further analysis I want to estimate new alphas and betas which do incorporate this ARCH effect (thus including all the a's in some way). There is a paper which does this in a simple manner (see page 12 and 13 of http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1100573). It is described as follows: /Ri=alpha(arch)+beta(arch)*Rm,i+et ## equation one et=ut*sqrt(h) h=lamda(0)+lamda(1)*e(t-1)^2+lamda(2)*e(t-2)^2 ##e are the residuals of the ols regression / I don't know how I should include these a's in my linear regression to address this probl...

Dear R help. Hello. I want to fit the model of "FIGARCH" on TimeSeries data. So I need to use the code of "garchOxFit". I don't know how to estimate FIGARCH model. Please let me know which package I need and what is procedure of estimating FIGARCH by R. I think I need this code! &gt; garchOxFit(formula.mean = arma(0, 0), formula.var = garch(1,1), series =

Dear R Helpers, Is there any literaure available (including R code) on Fast Fourier Transform being used in CreditRisk+? I need to learn how to apply the Fast Fourier Transform. I agree I am too vaue in my question and sincerely apologize for the same, but I am not able to understand as to where do I start for this particular assignment. I tried to search google for CRAN and Fast Fourier

...n detrimental patented techniques which could have _easily_ been avoided, as essential elements. ?? and this is the outcome when all of the parties are playing by the rules. For an in-depth analysis of the mess that patents are making of standardization, see: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1134000 It doesn't have to be this way. Most media coding patents are exceptionally narrow, as it's much cheaper and easier to obtain a very narrow patent. The fact that a patent can be trivially avoided? often by something as simple as changing the order of a process? isn't a problem...