search for: zivot

On the cover of Zivot and Wang's Modeling Financial Time Series with S Plus, there is a correlation plot that seems to indicate the strength of correlation with color-coded squares, so that more highly correlated stocks appear darker red. If anybody out there is familiar with the book or understands what I am talki...

Hi all, Does anybody have the source code of stochastic volatility models in R or Matlab, for example, the Bayesian based or the simulation based SV estimations as described by Prof Eric Zivot in the following discussion? https://stat.ethz.ch/pipermail/r-sig-finance/2005q4/000501.html -------------- I am wondering what is the current status of estimating stochastic vol models and what's the latest development -- which technique is currently the best method, Bayesian methods or the...

I've looked around but I can't find the method in R for testing whether the resulting estimated coefficients of an AR model imply that the model is invertible. To quote from eric zivot's blue book : " the AR(p) is invertible provided the rots of the characteristic equation Phi(z) = 1 - phi_1*z - phi_2*z^2 = phi_3*z^3 - ..... Phi_p*z^p = 0 lie outside the complex circle". I can't find a function nor do I know how to do the above myself. I think there is an eq...

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 any other packages you could point me to? In general, are there efforts for replicating within one package the functionality of S+Fin...

...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 languages. I would appreciate any help in locating such packages, or alternate suggestions. thanks! prad Pradyumna S. Upadrashta, PhD candidate Scientific Computation, University...

...the help page stating that "nar and nma should not be too large (say < 10) to avoid degeneracy in the model." I see that a different implementation of the FARIMA procedure in Splus could lead to an explosive, ie. non-stationary model when it's used to fit a log volatility data set (Zivot & Wang, p.291). Zivot explains that it might be due to canceling roots in the AR and MA polynomials. Is this a caution against a similar problem. Which leads to my next question, 3. Is the FARIMA procedure known to be unstable at time? Is there a better way (with a different package perhaps) t...

Hi, does anybody know of a nice test to detect trend turning points in time series? Possibly with reference? Thanks, joerg

...on April 24 and 25, 2009, in Chicago, IL, USA Confirmed keynote speakers include: Patrick Burns (Burns Statistics) David Kane (Kane Capital) Roger Koenker (U of Illinois at Urbana/Champaign) David Ruppert (Cornell) Diethelm Wuertz (ETH Z?rich) Eric Zivot (U of Washington) We invite all users of R in Finance to submit one-page abstracts or complete papers (in txt/pdf/doc format). We encourage papers both on academic research topics and related to use of R by Finance practitioners. Presenters are strongly encouraged to provide work...

Hi, is anyone aware of estimation functions for threshold vector error correction / threshold cointegration models? I didn't find anything for R using RSeek or Google. Thanks a lot for any pointers, Werner __________________________________________________ Do You Yahoo!? hutz gegen Massenmails. http://mail.yahoo.com

...on April 24 and 25, 2009, in Chicago, IL, USA Confirmed keynote speakers include: Patrick Burns (Burns Statistics) David Kane (Kane Capital) Roger Koenker (U of Illinois at Urbana/Champaign) David Ruppert (Cornell) Diethelm Wuertz (ETH Z?rich) Eric Zivot (U of Washington) We invite all users of R in Finance to submit one-page abstracts or complete papers (in txt/pdf/doc format). We encourage papers both on academic research topics and related to use of R by Finance practitioners. Presenters are strongly encouraged to provide work...

Hi, Would anyone know if it is possible to run a Beveridge Nelson decomposition of a univariate time series object in R? I searched in the help files but didn't come across any potential methods. Thanks very much, Shruthi -- View this message in context: http://www.nabble.com/Beveridge-Nelson-Decomposition-tp21789452p21789452.html Sent from the R help mailing list archive at Nabble.com.

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! [[alternative HTML version deleted]]

...class 'ur.kpss' ur.pp Phillips & Perron Unit Root Test ur.pp-class Representation of class 'ur.pp' ur.sp Schmidt & Phillips Unit Root Test ur.sp-class Representation of class 'ur.sp' ur.za Zivot & Andrews Unit Root Test ur.za-class Representation of class 'ur.za' Your comments are welcome. Looking forward to hear from, Best, Bernhard Dr. Bernhard Pfaff Global Debt Research - Index and Quantitative Strategy Dresdner Kleinwort Wasserstein Phone: +49 (0)69 713 122...

...rk Eddelbuettel, Robert Grossman, Saptarshi Guha, Mike Kane, Ruud Koning, Bryan Lewis, Wei-han Liu, James "JD" Long, Brian Peterson, Soren MacBeth, Khanh Nguyen, Michael North, Stefan Theussl, Josh Ulrich, Tony Plate, Jeff Ryan, Mark Seligman, David Smith, and Eric Zivot. Also offered are four optional pre-conference tutorials: Josh Buckner & Mark Seligman GPU Programming with R - An Introduction To GPU Programming with R Peter Carl & Brian Peterson Complex Portfolio Optimization with...

...Trades and Quotes Robert Grossman: Computing in the Cloud Nicolas Christou/David Diez: Statistical Finance for Investors Unfamiliar with Quantitative Methods Maria Belianina: Data Management Challenges for Quantitative Research *Marc Wildi: Adapting the MDFA to 'Financial Trading' Eric Zivot: Simulation-based Estimation of Continuous Time Models Dirk Eddelbuettel/Khanh Nguyen: RQuantLib: Interfacing QuantLib from R Lightning talks: Jeff Ryan: Databasing without the Database: The indexing package Josh Ulrich: Fast and Flexible Technical Analysis with TTR Ruud Koning: Thick Tails,...

...Edinburgh, UK Copulas with Examples in R * Eckhard Platen, University of Technology Sydney, Australia A Benchmark Approach to Computative Finance * Nakahiro Yoshida, Math Sciences, University of Tokyo, Japan Inference for Discretely Observed Diffusion Processes * Eric Zivot, Economics Department, University Washington, Seattle, USA Analysis of High Frequency Data in R The afternoon User/Developer Meetings are dedicated to contributed talks and presentations reflecting the wide range of fields in which R and Rmetrics are used in finance and insurance to analyz...

Hi, Am I interpreting the results properly? Are my conclusions correct? > KPSS.test(df) ---- ---- KPSS test ---- ---- Null hypotheses: Level stationarity and stationarity around a linear trend. Alternative hypothesis: Unit root. ---- Statistic for the null hypothesis of level stationarity: 1.089 Critical values: 0.10 0.05 0.025 0.01 0.347 0.463

Hi all, Hope you people do not feel irritated for repeatedly sending mail on Time series. Here I got another problem on the same, and hope I would get some answer from you. I have following dataset: data[,1] [1] 4.96 4.95 4.96 4.96 4.97 4.97 4.97 4.97 4.97 4.98 4.98 4.98 4.98 4.98 4.99 4.99 5.00 5.01 [19] 5.01 5.00 5.01 5.01 5.01 5.01 5.02 5.01 5.02 5.02 5.03 5.03 5.03

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

...ion 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 version deleted]]