search for: riskmetrics

Hello, R gives us the correlation functions cor(). (Many thanks ;-)) Does it also exist a "moving correlation" coefficient ? (like the moving average). If not, could someone give me some infos or link on how to practically implement such a function in R. (I did search for "moving correlation" on the R homepage but didn't find anything.) Thank you. Vincent

...product set spans the full range of rates/FX, structured, and credit fixed income products. Key Responsibilities: * Maintain and support internal database and related applications. * Maintain and enhance data feeds, including Bloomberg Gateway, Geneva, and several ad hoc sources. * Responsible for RiskMetrics systems and integrity of related risk reporting. * Assist with implementing process improvements across front and middle office technology platforms. * Assist with writing business requirement documents. * Assist in the development and tracking of project plans. Position Requires: * Bachelors degr...

Hi, anybody know why this not works for several plots ? When i set onefile=T the plots are stacked one about another , onefile=F only the first plot is shown in AllbusMeansPlots.svg. [h2 is a data.frame] ......hist and sapply works for several plots nice with RSvgDevice ! Maybe setting the title after apply is a problem, but until yet i didn't found a better solution ? library(RSvgDevice)

...icture clearly differnt distributions over time, so they have estimated the distribution after 5 days (page 48), but in the table is just one specific distribution with specific parameters? And they give the volatility models in the rows? A second famous paper is the Technial Document by JPMorgan: RiskMetrics Technical Document - Fourth Edition 1996, December: http://www.google.de/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&ved=0CDUQFjAA&url=http%3A%2F%2Fzhiqiang.org%2Fblog%2Fdownload%2FRiskMetrics%2520-%2520Technical%2520Document.pdf&ei=RSJhUd7YJIbktQaQ-YCAAw&a...