similar to: R and S+ Courses: Brisbane, Melbourne & Sydney

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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

Hello List, I've done some cursory searching but (so far) have struck out. Does anyone know if the R version of the S+ FinMetrics package is available? Best, Bill Vedder

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.

please !, what is the R equivalents for the S-plus package : S+FinMetrics thanks hassan [[alternative HTML version deleted]]

I have been comparing the output of an R package to S+Finmetrics and I notice that the covariance matrix outputted by the two procedures is different. The R package computes the covariance matrix using Method 1 and I think ( but I'm not sure ) that S+Finmetrics computes it using Method 2. I put in a correctionfactor (see below ) in to Method 2 in order to deal with the fact that the var

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

Is there a function in R that is equivalent to S-PLUS's seriesMerge(x1, x2, pos="union") where x1, and x2 are of class timeSeries seriesMerge is in S-PLUS's finmetrics. I looked into R's mergeSeries (in fSeries part of Rmetrics) but I could not make it behave quite the same. In R it expected a timeSeries object and a matrix of the same row count. In S-PLUS when using the

Greetings, Are there R packages that perform time-series analyses - particularly estimation of ARIMA models along with unit-root tests? I know that FinMetrics in the S-Plus program will do it, but I'm looking for R packages, as well any reference material for estimating time-series' models in R. Thanks in advance, David --

Hi, I am trying to figure how to use dlm with constant terms (possibly time-dependent) added to both equations y_t = c_t + F_t\theta_t + v_t \theta_t = d_t + G_t\theta_{t-1} + w_t, in the way that S-PLUS Finmetrics does? Is there any straightforward way to transform the above to the default setup? Thanks, Tsvetan -------------------------------------------------------- NOTICE: If received in

Hi, I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any

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

Our January-February 2008 R/S+ course schedule is now available. Please check out this link for additional information and direct enquiries to Sue Turner [1]sue at xlsolutions-corp.com Phone: 206 686 1578 Can't see your city? Please email us! [2]www.xlsolutions-corp.com/courselist.htm (1) R/S System: Advanced Programming *** San Francisco / January 24-25, 2008

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Hi, I am trying to create a perspective plot with Time on the x-axis, Underlying Price on the y-axis, and Option Price on the z-axis. But I don't like the way my x-axis is setup. Right now, Time is this sequence. Time = seq(from = 1/52, to = 1, by=1/52) That results in the x-axis going from 0 at the back, to 1 near the foreground corner.(If that makes any sense) I want to do the

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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 ********************************************************** The information provided in this e-mail is confidential and is for the sole use of the recipient. It may not be disclosed, copied or

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).

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