similar to: PMwR 1.0 (Portfolio Management with R)

The following paper may be of interest to some. The author is generous about sharing a recently revised version. <A HREF="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=259648">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=259648</A> [[alternative HTML version deleted]]

Hi all ARCH modelling I have a problem now on how to proceed with further steps in my analysis. I did a linear OLS regression with my daily data of stock and index returns. There is now the problem of arch in my error terms. Thus I used the following r command: garch(resid_desn, order=c(0,2)) ## This ARCH(2) process seems to fit the best after trial and error. Consequently, I get there three

Hi I have a problem on how to proceed with further steps in my analysis. I did a linear OLS regression (ri,t=alpha*beta*rm,t+et) with my daily data of stock and index returns. There is now the problem of arch in my error terms. Thus I used the following r command: /garch(resid_desn, order=c(0,2)) ## This ARCH(2) process seems to fit the best after trial and error. Consequently, I get there

The specific standards process used to develop the MPEG codecs creates patent minefields that royalty-free codecs don't generally face. Because many knowledgeable people have heard of the problems faced by these patent-soup standards, they may extrapolate these risk to codecs developed under a different process where these problems are less considerable. This is a mistake, and I'll explain

Dear all, version 1.2-2 of package NMOF is on CRAN now. NMOF stands for 'Numerical Methods and Optimization in Finance'. The package provides R code and datasets for the book with the same name, written by Manfred Gilli, Dietmar Maringer and Enrico Schumann, published by Elsevier/Academic Press in 2011. The package has finally crossed the 1.0 line: It is 10 years since the development

Dear all, version 2.10-0 of package NMOF is on CRAN now. NMOF stands for 'Numerical Methods and Optimization in Finance', and it accompanies the book with the same name, written by Manfred Gilli, Dietmar Maringer and Enrico Schumann.[1] Since the last announcement on this list in 2021, several functions have been added to the package, such as 'barrierOptionEuropean' for valuing

Dear all, version 2.10-0 of package NMOF is on CRAN now. NMOF stands for 'Numerical Methods and Optimization in Finance', and it accompanies the book with the same name, written by Manfred Gilli, Dietmar Maringer and Enrico Schumann.[1] Since the last announcement on this list in 2021, several functions have been added to the package, such as 'barrierOptionEuropean' for valuing

On Fri, 02 Feb 2018, Michael Ashton writes: > Where can I get the patch? I've never installed a patch for R...usually just upgrade. > > Michael Ashton, CFA > Managing Principal > > Enduring Investments LLC > W: 973.457.4602 > C: 551.655.8006 > The patched build (i.e. a complete version, not just the patch) is available from the same CRAN site at which you find the

There is also the package solrad that might do some of this. It is more intended for calculating solar radiation, which is probably not what you want, but may do other things you may find helpful. > On Jan 30, 2024, at 5:44?AM, Enrico Schumann <es at enricoschumann.net> wrote: > > On Tue, 30 Jan 2024, Richard O'Keefe writes: > >> Given >> - UTC timestamp

If Emacs is not asking for starting directory, it is very likely your init file has this somewhere: (setq ess-ask-for-ess-directory nil) On Mon, Sep 11, 2017 at 3:23 PM, Enrico Schumann <es at enricoschumann.net> wrote: > On Mon, 11 Sep 2017, Christian writes: > >> Hi, >> >> I experienced a sudden change in the behavior of M-x R in not giving >> me the choice

See, I have built my own genetic algorithm already and tested it on this problem. I have a solution, but due to the heuristic nature of GA, I cannot guarantee that it is the optimal subset. If I was simply doing this for a company project, you are spot on with the type of algorithm I would use, but I am doing this for a scientific paper. I need to be able to find the optimal subset over my

On Tue, 30 Jan 2024, Richard O'Keefe writes: > Given > - UTC timestamp > - a location (latitude,longitude,elevation) > I want to know > - the sun angles > - the moon angles > - the phase of the moon. > I looked on CRAN for astronomy, but didn't notice anything that seems > to offer what I want. I could try coding these functions myself, but > "if

On Thu, 29 Jun 2017, Alex Byrley writes: > I am looking for packages that can run a branch-and-bound algorithm to > maximize a distance measure (such as Bhattacharyya or Mahalanobis) on a set > of features. > > I would like this to be learning algorithm independent, so that the method > just looks at the features, and selects the subset of a user-defined size > that maximizes

Ein eingebundener Text mit undefiniertem Zeichensatz wurde abgetrennt. Name: nicht verf?gbar URL: https://stat.ethz.ch/pipermail/r-help/attachments/20070510/b26482f4/attachment.pl

Dear R help. Hello. I want to fit the model of "FIGARCH" on TimeSeries data. So I need to use the code of "garchOxFit". I don't know how to estimate FIGARCH model. Please let me know which package I need and what is procedure of estimating FIGARCH by R. I think I need this code! &gt; garchOxFit(formula.mean = arma(0, 0), formula.var = garch(1,1), series =

Quoting Francesca PANCOTTO <f.pancotto at unimore.it>: > Dear R contributors, > > I have a problem in selecting in an efficient way, rows of a data > frame according to a condition, > which is a part of a row name of the table. > > The data frame is made of 64 rows and 2 columns, but the row names > are very long but I need to select them according to a small

In the first paragraph of Sweave.Rnw (./src/library/utils/vignettes/Sweave.Rnw), it reads for literate programming \cite{fla:Knuth:1984}. but probably should be for literate programming \citep{fla:Knuth:1984}. ^ kind regards Enrico -- Enrico Schumann Lucerne, Switzerland http://enricoschumann.net

On Tue, 21 Feb 2023, Selke, Gisbert W. writes: > On Mon, 20 Feb 2023 15:58:33 +0000, Stadler Thomas <thomas.stadler at vpbank.com> wrote: > >> as the download method 'wininet' is deprecated, I'm looking into alternative ways to install packages from within R. >> Unfortunately, curl, libcurl and wget refuse to cooperate with Kerberos on our corporate setup.

Zitat von Ashim Kapoor <ashimkapoor at gmail.com>: > Dear All, > > My query is: > > Do we always need to use perl = TRUE option when doing ignore.case=TRUE? > > A small example : > > my_text = > "RECOVERY OFFICER-II\nDEBTS RECOVERY TRIBUNAL-III\n RC No. 162/2015\nSBI > VS RAMESH GUPTA.\n Dated: 01.03.2016 Item no.01\n > Present:

Hi Enrico, yes it works. I can also plot the graph. Next question, how do I delete the date from 16 December until 31 December 2014? Thank you very much. > dt$time <- as.POSIXct(dt$time)> > dt_ts <- xts(dt$count, dt$time)> str(dt_ts)An xts object on 2014-01-01 / 2014-12-31 23:59:00 containing: Data: integer [525600, 1] Index: POSIXct,POSIXt [525600] (TZ: "")