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

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
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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 language...

2008 Feb 02

1

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
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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. Since...

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 to o...

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
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2010 Aug 17

0

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 not,...

2010 Jan 09

2

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

1

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

1

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" ,