Displaying 12 results from an estimated 12 matches for "ruey".
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2007 Sep 25
1
fSeries Garch and Arfima Ox interface
...the functions work with the latest version of Ox console (version 4)? Or do we need to use Ox version 3.40?
Does somebody have it working - can you let me know how you did it? For your information, I am currently using R 2.5.1 and I am following the instructions from http://faculty.chicagogsb.edu/ruey.tsay/teaching/bs41202/G at RCH_info.txt
Cheers
Ian
Dr. Ian McHale
Lecturer in Applied Statistics
Centre for Operational Research and Applied Statistics
The University of Salford
Maxwell Building
Salford
Greater Manchester
M5 4WT
Tel: 0161 295 4765
Fax: 0161 295 4947
2011 Oct 19
1
ar() - AIC and BIC
Hi,
I'm slowly working through Tsay's "Analysis of Financial Time Series"
3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF,
AIC, and BIC for the monthly simple returns of the CRSP value-weighted
index.
The data:
http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt
> da <- read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt", header = TRUE)
> vw <- da[, 3]
I can replicate the PACF calculations.
> x <- pacf(vw)
> x
Partial autocorrelations of series ?vw?, by l...
2007 Jun 12
5
R Book Advice Needed
...th R - Peter Dalgaard
7-Using R for Introductory Statistics - John Verzani
8-Data Analysis and Graphics Using R - John Maindonald;
9-Linear Models with R (Texts in Statistical Science) - Julian J.
Faraway
10-Analysis of Financial Time Series (Wiley Series in Probability and
Statistics)2nd edition - Ruey S. Tsay
Thanks.
Neil Gottlieb
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2005 Dec 29
0
calculating recursive sequences
Hi,
I was trying to repeat the estimation of threshold GARCH models from
the book "Analysis of Financial Time Series" by Ruey S. Tsay, and I
was succesfull, but I had to use "for" loop, which is quite slow. The
loop is necessary, since you need to calculate recursive sequence. Is
there a faster way to do this in R, without using loops?
The model is such:
r_t = \mu + \alpha_2 r_{t-2} + a_t
a_t = \sigma_t\varepsi...
2006 May 29
1
TsayData
Hi,
I'm trying to work with TsayData in fSeries package.
How can i fetch any time series data of this package.
Please advice.
Thanks,
Sumanta Basak.
Send instant messages to your online friends http://in.messenger.yahoo.com
2009 Aug 23
1
study resources for time series?
Hi all,
I am looking for study resources for (financial) time series? Hopefully I
could find video lectures then it will reduce the learning curve.
Thanks a lot!
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2009 Mar 31
1
Jarque-Bera test and Ljung-Box test for multivariate time series
Hi!
I know that there is function in fBasics package for univariate Jarque-Bera
test and a funtion for univariate Ljung-Box test in stats package. But I am
wondering if there is a function somewhere to do the tests for multivariate
time series?
Thanks,
John
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2013 Apr 08
0
Maximum likelihood estimation of ARMA(1,1)-GARCH(1,1)
Hello
Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey
Tsay's Analysis of Financial Time Series), I try to write an R program
to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for
Intel's stock returns. For some random reason, I cannot decipher what
is wrong with my R program. The R package fGarch already gives me the
answer, but...
2009 Sep 30
1
Re cursive regression
Hi there, I'm in desperate need to figure out how to solve this issue.
I need to estimate a recursive model for a time series data of asset
returns. The dependent variable is the asset return and then I have a set of
k variables, a lagged value of the dependent variable (plus an intercept) as
regressors. My sample period (monthly observations) starts on Jan 1972. What
I need to do is the
2008 Nov 09
2
please recommend statistics, time series and econometrics books with finance, macroeconomics, trading and business applications
Hi all,
Please recommend good books for the following three categories. (I am
aim at finance, macroeconomics, trading and business applications).
(1) statistical (financial) data analysis;
(2) time series;
(3) econometrics.
More specifically, I am looking for the following two types of books:
(1) Books that provide big pictures and intuitions and books that
connect dots...
For example, there
2009 Feb 08
0
Initial values of the parameters of a garch-Model
Dear all,
I'm using R 2.8.1 under Windows Vista on a dual core 2,4 GhZ with 4 GB
of RAM.
I'm trying to reproduce a result out of "Analysis of Financial Time
Series" by Ruey Tsay.
In R I'm using the fGarch library.
After fitting a ar(3)-garch(1,1)-model
> model<-garchFit(~arma(3,0)+garch(1,1), analyse)
I'm saving the results via
> result<-model at fit$se.coef
I'm wondering how the first variance
> result at h.t[1]
is compute...
2006 Jan 30
1
fExtreme packages
Hello,
I am a new user of R. I am trying to use the packages fBasics and fExtremes
when i am running the examples I get few error. Could someone tell me what is
happenig? Thank you beforehand.
from Fbasics packages:
xmpfBasics()
Error in file(file, "r") : unable to open connection
In addition: Warning message:
cannot open file '/usr/lib/R/library/fBasics/demoIndex'