search for: finmetrics

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

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 there a...

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.

please !, what is the R equivalents for the S-plus package : S+FinMetrics thanks hassan [[alternative HTML version deleted]]

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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 language...

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.

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 to...

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 of E...

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 em...

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 packag...

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. Since...

...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

...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 S.p...

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

...------------------------- ------------------ 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

...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 engineer...

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 to o...

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 HTML...

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 In...