search for: finmetr

Displaying 20 results from an estimated 29 matches for "finmetr".

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2003 Mar 14
2
R "FinMetrics" Package Available?
Hello List, I've done some cursory searching but (so far) have struck out. Does anyone know if the R version of the S+ FinMetrics package is available? Best, Bill Vedder
2004 Mar 25
1
S+Finmetrics cointegration functions
Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are ther...
2004 Dec 09
1
Finmetrics positions
Finmetrics (in S-PLUS) has teh functions "positions" (return the positions of an ordered data object). Is there an equivalent to it in Remtrics? I am applying it to teh data of a time series.
2009 Apr 17
1
S+FinMetrics
please !, what is the R equivalents for the S-plus package : S+FinMetrics thanks hassan [[alternative HTML version deleted]]
2013 Feb 28
0
R and S+ Courses: Brisbane, Melbourne & Sydney
Hi, (apologies for cross-posting) SolutionMetrics is presenting Introductory & Intermediate R and S+ courses in Brisbane, Melbourne & Sydney - March & April 2013. S+ FinMetrics course in Sydney - June 2013. More info below. Course Schedule - Click Here<http://bit.ly/13lJ4ag> To book, please email enquiries@solutionmetrics.com.au<mailto:enquiries@solutionmetrics.com.au> or call +61 2 9233 6888 Introduction to R (1 Day) Confidently use R for data analysis...
2004 Mar 28
1
"R" and "S-plus"
Hi, I apologize in advance if this is the wrong area to post this message. I would like to know if there is an "R" equivalent for the "S+finMetrics" package? I'd like to be able to use "R" to go through the examples provided in the book "Modeling Financial Time-Series with S-Plus" (E. Zivot and J. Wang). I was told that "R" and "S-Plus" were very similar, and I am relatively new to both langu...
2004 Nov 24
2
seriesMerge
Is there a function in R that is equivalent to S-PLUS's seriesMerge(x1, x2, pos="union") where x1, and x2 are of class timeSeries seriesMerge is in S-PLUS's finmetrics. I looked into R's mergeSeries (in fSeries part of Rmetrics) but I could not make it behave quite the same. In R it expected a timeSeries object and a matrix of the same row count. In S-PLUS when using the union option both objects can be of different lengths.
2007 Mar 15
0
Covariance matrix calc method question
I have been comparing the output of an R package to S+Finmetrics and I notice that the covariance matrix outputted by the two procedures is different. The R package computes the covariance matrix using Method 1 and I think ( but I'm not sure ) that S+Finmetrics computes it using Method 2. I put in a correctionfactor (see below ) in to Method 2 in order...
2006 Sep 29
1
time-series packages
Greetings, Are there R packages that perform time-series analyses - particularly estimation of ARIMA models along with unit-root tests? I know that FinMetrics in the S-Plus program will do it, but I'm looking for R packages, as well any reference material for estimating time-series' models in R. Thanks in advance, David -- ======================================================================== David Kaplan, Ph.D. Professor Department o...
2008 May 07
1
dlm with constant terms
Hi, I am trying to figure how to use dlm with constant terms (possibly time-dependent) added to both equations y_t = c_t + F_t\theta_t + v_t \theta_t = d_t + G_t\theta_{t-1} + w_t, in the way that S-PLUS Finmetrics does? Is there any straightforward way to transform the above to the default setup? Thanks, Tsvetan -------------------------------------------------------- NOTICE: If received in error, please destroy and notify sender. Sender does not intend to waive confidentiality or privilege. Use of this...
2005 Apr 11
1
TSeries GARCH Estimates accuracy
Hi, I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any help to obtain consistent results using R. Also is there any garch simulation function available other than garchSim from fseries pac...
2006 Apr 24
1
Modeling inverse relationship with copula
Dear r list, I posted this on the S list last week since i'm using some of the FinMetrics functions on copula. Knowing there is a copula package in R, I figure this would be an appropriate forum to ask this question. I want to model inverse relationship between two (non-normal, non-symmetric) marginals with the gumbel copula, or with any copula. Say, x is lognormal and y is norm. Si...
2007 Oct 31
2
reversing perspective plot axis
...ng sequence for my perspective plot. Is that true? Is there a way to work around this? persp(x=Time, y=S, z=Price, xlab="Time", ylab="S", zlab=TypeFlag, ...) Essentially, what I'm trying to create is something that looks like this. http://www.insightful.com/products/finmetrics/opSensitivity1_lg.gif You can see how Time on the x-axis diminishes as it moves to the foreground corner. Thanks in advance. James
2004 Sep 22
5
block statistics with POSIX classes
...of the period and suggests that I have done something correctly. Two questions: (1) how to implement annual blocks and compute e.g. annual max, min and mean of y (each year's max, min, mean)? (2) how to apply POSIX variables with the 'block' argument in gev in the evir package? The S+FinMetrics function aggregateSeries does the job in that module; but I do not know, how handle it in R. My guess is that (1) is done by using the function aggregate, but how to define the 'by' argument with POSIX variables? Thanks! Hannu Kahra Progetti Speciali Monte Paschi Asset Management SGR...
2004 Feb 19
6
R for economists (was: Almost Ideal Demand System)
Hi, I did not find any web page about using R in economics and econometrics so far. However, this does not mean that there is none (searching with google for "R" and "economics" gives many pages about economics and a name like Firstname R. Lastname on it ;-)). Does anybody in the list does know such a web page? If not, I will be happy if you, Ajay, could build and
2003 Feb 25
0
COURSE: Prof. Brian D. Ripley on Statistical Data Mining, Zuerich, April 3/4
...------------------------- ------------------ For the latest in upcoming training events, see http://www.insightful.com/services/intl_training.asp Highlights include: Bill Venables on Advanced Programming in S, London Mar 17/18 Analysis of Financial Time Series With S-PLUS and S+FinMetrics, NYC, April 3/4
2005 May 04
0
JOB: Financial Software Engineering position at Insightful
...t Reports To: Software Engineering Manager Status: Exempt SUMMARY OF RESPONSIBILITIES & DUTIES: This position requires a hands-on, driven, well organized professional with experience in computational finance and software engineering. This individual will be the primary developer for S+FinMetrics and related S-PLUS modules for financial engineering. Duties and Responsibilities: * Design and implement new functionality in C/C++, S-PLUS, and other languages as needed. Create unit tests. Write help files and other documentation. * Project and program management for the financial engin...
2006 Jan 09
1
brown, durbin , evans ( 1975 )
Does anyone know where I can get R code for plotting the Brown , Durbin and Evans cumsum procedure ( 1975 ) ? I wrote my own code but I am a little worried that my confiodence bands may not be correct ( I find the formula in the original paper confusing and S+Finmetrics has a formula but that formula implies that there should be 4 lines as far as I can tell ) so I would like to see someone else's code also if it's out there ? Thanks. Mark P.S : Strucchange looks like a great package but it would take me way longer than I have t...
2006 Mar 13
0
book and website announcement
The 2nd Edition of my book (with Jiahui Wang) Modeling Financial Time Series with S-PLUS has recently been published by Springer-Verlag. The 2nd Edition is updated to cover S-PLUS 7 and S+FinMetrics 2.0. I have also created a website for the 2nd Edition, which can be found at http://faculty.washington.edu/ezivot/MFTS2ndEdition.htm The website contains scripts for all of the examples in the book, as well as a substantial amount of additional material and examples. [[alternative HT...
2008 Sep 04
0
Any function to calculate returns
Hi, Sorry if this may be a simple question. Is there any function to calculate returns (percentage or non-percentage) directly like the function getReturns() in S Finmetrics? Thanks. Best Regards, wy ********************************************************** The information provided in this e-mail is confidential and is for the sole use of the recipient. It may not be disclosed, copied or distributed in any form without the express permission of Henderson Global...