similar to: problem with looping formula through table

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" ,

http://www.nabble.com/file/p15359204/test.data.csv http://www.nabble.com/file/p15359204/test.data.csv test.data.csv Hi, I have used apply to have certian combinations, but when I try to use these combinations I get the error [Error in eval(expr, envir, enclos) : object "X.GDAXI" not found]. being a novice I donot understand that after applying combination to the data I cant access

Hi, to get the residuals and coefficients I did the following: kurse <- read.table("kurse.txt" header=T) the data: index bmw mru rwe vow kar sie bas 1 159,70 74,18 338,21 89,03 110,30 141,23 178,53 67,97 2 160,76 73,46 343,66 89,38 110,30 142,66 180,45 68,30 3 162,45 74,18 349,12 91,54 108,54 146,22 183,12 68,85 4 162,18 72,74 349,12 92,20 106,43 144,80 181,75

Hello, I have a few questions concerning the DCC-GARCH model and its programming in R. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And the aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =

Hi, the snippet of code below works, but I would like to know how to feed the function merge.zoo the contents of CADstocknames rather than having to hard code it into the merge.zoo command. I think I must be missing something simple, but I cannot for the life of me figure it out. Thanks in advance for any enlightenment offered. library(zoo) CADstocknames <-

All, I have been just recently working with zoo objects for trading systems. Can someone please help with these basic questions? Given a daily time series downloaded using get.hist.quote() from the tseries package, ie...... startDate= as.Date("2000-01-01") endDate= as.Date("2011-01-29") frequency= 'd' s= get.hist.quote('IWF', start= startDate, end=

Hello, I have a rather complex problem... I will have to explain everything in detail because I cannot solve it by myself...i just ran out of ideas. So here is what I want to do: I take quotes of two indices - S&P500 and DJ. And my first aim is to estimate coefficients of the DCC-GARCH model for them. This is how I do it: library(tseries) p1 = get.hist.quote(instrument =

Hi there! I'm stuck with a problem aligning financial timeseries and haven't found a cue how to fix it... When I run that simple script, everything goes well until the "align"-command: ------ rm(list=ls()) x <- yahooSeries("^GDAXI") head(x) xAligned <- align(x = x, by = "1d", method = "before", include.weekends = FALSE) ------ Here's

Nadav, I ran some benchmarks and I'm seeing 3-6% performance loss on a few of them when we use SLP on both O2 and O3 (with O3 having the biggest differences). Unfortunately, my benchmarking is not scientific, so I can't vow for those numbers, nor I'll have time to investigate it closer in the short term, but I wouldn't be surprised if this is result of extra shuffles we were

Hi, I tried to inverse a matrix but it doesn`t work. I hope somebody can help me. This is what I did. > kurse <- read.table("kurse.txt", header=T, dec=",") > x <- cbind(1,kurse[,-c(1)]) > y <- kurse$index > t(x) %*% x Error in t(x) %*% x : requires numeric matrix/vector arguments > x <- as.matrix(x) > xtxi <- solve(t(x) %*% x) Error in

Hi all, this should be a simple question, but I haven't been able to do it right. I am trying to download multiple stock quotes in a loop, so that every timeseries is safed with the symbol of the stock. Can anybody help me out? Here's the code: require(tseries) startd <- "2000-06-01" stocks <- c("bmw.de", "vow.de", "dte.de") for(stock in

Sample Data.Frame format Name is Returns.nodup X id ticker date_ adjClose totret RankStk 427225 427225 00174410 AHS 2001-11-13 21.66 100 1235 "id" uniquely defines a row What I am trying to do is filter out id's that have less than 1500 data points (by date) First, I used total<-by(Returns.nodup, Returns.nodup$id,nrow) which subsetted by

Hi all. I prefer to build all ports in /tmp, which is actually a tmpfs filesystem. I have 8G partition. But when I tried to compile Apache OpenOffice system starts shooting processes when I was near 6G of swap. Oct 11 18:12:32 ar1l0u kernel: swap zone exhausted, increase kern.maxswzone Oct 11 18:12:32 ar1l0u kernel: pid 1334 (java), uid 818, was killed: out of swap space Oct 11 18:12:32

Hi R users,   Thanks in advance.   I am using R 2.12.0 on Windows XP.   May I request you to assist me in the following please.   1. I am getting error while downloading quote data from yahoo finance.   The example code is below (taken from tseries help):   library(tseries)   con <- url("http://quote.yahoo.com") if(!inherits(try(open(con), silent = TRUE), "try-error")) {  

I found an example at http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown below. But it seems the structSSM function has been removed from KFAS library so it won't run. Does anyone know how to fix the code so that it runs? library(KFAS) library(tseries) library(timeSeries) library(zoo) library(quantmod) getDailyPrices = function( tickerSym, startDate, endDate ) {

Dear R Gurus, Thanks for any help in advance! Date.frame: Returns.names X id ticker date_ adjClose totret RankStk 258060 258060 13645T10 CP 2001-06-29 18.125 1877.758 My data frame is in the above format. I would like to filter by period, per id (every 125 days) each consisting of 250 days, I.e. 1-250, 126-375, etc. One important thing to note is that not all

Hello. /usr/local/libexec/ccache/world/cc -c -O -pipe -march=native -std=c99 -g -Wall -Wredundant-decls -Wnested-externs -Wstrict-prototypes -Wmissing-prototypes -Wpointer-arith -Winline -Wcast-qual -Wundef -Wno-pointer-sign -fformat-extensions -Wmissing-include-dirs -fdiagnostics-show-option -Wno-error-tautological-compare -Wno-error-empty-body -Wno-error-parentheses-equality -nostdinc

Hi all. When building procstat I get this: clang -O2 -pipe -march=athlon-xp -std=gnu99 -Qunused-arguments -fstack-protector -Wsystem-headers -Wall -Wno-format-y2k -W -Wno-unused-parameter -Wstrict-prototypes -Wmissing-prototypes -Wpointer-arith -Wreturn-type -Wcast-qual -Wwrite-strings -Wswitch -Wshadow -Wunused-parameter -Wcast-align -Wchar-subscripts -Winline -Wnested-externs

Dear R users, I am trying to carry out MLE of the time-varying CAPM using the FKF package. My approach so far has been to try and adapt the example given in the help file found using ?fkf which demonstrates the MLE of an ARMA(2,1) model. When I attempt to run my R code (given below) I get the following error: Error in fkf(a0 = sp$a0, P0 = sp$P0, dt = sp$dt, ct = sp$ct, Tt = sp$Tt, : Some of

> structSSM Is no longer part of KFAS. All you needed to do was: library(KFAS) ?KFAS and you would have seen that if you went to the index. A structural state space model is now built up from its components, much like in LM. Look at; ?SSModel -Roy > On Jul 29, 2017, at 9:26 PM, Staff <rbertematti at gmail.com> wrote: > > I found an example at >