search for: finmetr

Displaying 11 results from an estimated 11 matches for "finmetr".

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2004 Dec 09
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
please !, what is the R equivalents for the S-plus package : S+FinMetrics thanks hassan [[alternative HTML version deleted]]
2004 Mar 28
"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...
2008 Feb 02
ARCH LM test for univariant time series
Hi, Does anyone know if R has a Lagrange multiplier (LM) test for ARCH effects for univariant time series? Thanks! -- Tom [[alternative HTML version deleted]]
2006 Apr 24
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...
2006 Jan 09
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...
2008 Sep 04
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...
2010 Aug 17
semiparametric fractional autoregressive model
folks, does anyone know if the SEMIFAR model has been implemented in R? i see that there's a S-FinMetrics function SEMIFAR() that does the job, but I have no access to that software. essentially, this semiparametric fractional autoregressive model introduces a deterministic trend to the FARIMA(p,d,0) model (which, as i understand it, takes care of the random trend and short and long memory). if no...
2010 Jan 09
Functions for QUAIDS and nonlinear SUR?
Hi, I would like to estimate a quadratic almost ideal demand system in R which is estimated usually by nonlinear seemingly unrelated regression. But there is no such function in R yet but it is readily available in STATA (nlsur), see B. Poi (2008): Demand-system estimation: Update, Stata Journal 8(4). Now I am thinking, what is quicker learning to "program" STATA which seems not really
2007 Jul 19
Questions regarding R and fitting GARCH models
Dear all, I've recently switched from EViews to R with RMetrics/fSeries (newest version of july 10) for my analysis because of the much bigger flexibility it offers. So far my experiences had been great -prior I had already worked extensively with S-Plus so was already kind of familiar with the language- until I got to the fSeries package. My problem with the documentation of fSeries is
2012 Mar 10
Generating abnormal returns in R
Hello This is my first post on this forum and I hope someone can help me out. I have a datafile (weeklyR) with returns of +- 100 companies. I acquired this computing the following code: library("tseries"); tickers = c("GSPC" , "BP" , "TOT" , "ENI.MI" , "VOW.BE" , "CS.PA" , "DAI.DE" , "ALV.DE" ,