similar to: minimal hedge variance ratio

Hi everyone I am trying to estimate the optimal hedge variance ratio for cross hedging two commodities. the price levels are used (compared to price change and % price change) and used the OLS with dummy variable for estimating the co-efficients. the equation looks like this Y = B + B1*D1 + B2*X + B3*(X*D1) Where Y = Daily Cash market price D1 = Dummy variable taking value 1 for period Oct-Mar

Hi all i am facing a peculiar problem for data input using read.table which i never faced previously. i have a data file by name abnew.txt with two coloumns data as depicted below. A B 420 422 314 321 the txt file is created using the excel save as option. i issued the statement as > a <- read.table("abnew.txt", header=TRUE) > a X.??S 1 NA 2 2 3 2

I have to calculate the logreturn variance in the Heston model. How can I do? Do you know some function that calculates it? Thank you Barbara -- ________________________________________________________ Le informazioni contenute in questo messaggio di posta elettronica sono strettamente riservate e indirizzate esclusivamente al destinatario. Si prega di non leggere, fare copia, inoltrare a

Dear All,   is there a function in R that would help me convert a covariance matrix built based on arithmetic returns to a covariance matrix from log-returns?   As an example of the means and covariance from arithmetic:   mu <-c(0.094,0.006,1.337,1.046,0.263) sigma

Hi all. I've been lurking and posting on this list for a few years now. Prior to that, I managed the US Convertible Arbitrage portfolio for Amaranth Advisors. I recently agreed to manage a similar portfolio for a different hedge fund and am looking for someone to join me, essentially as the principal quant for a new San Francisco office. I've been very impressed with the posters on

A quantitative hedge fund within Lazard Asset Management in New York City is looking for a talented programmer/statistician to join a small team of researchers and portfolio managers. The job would intersect the fields of finance, applied statistics and computer science. The position involves applying intelligent design and development of r programs to accelerate the speed of research. The

Dear list subscribers, this is posted in appreciation of the level of skill that subscribers to this mailing list enjoy and in no way to abuse it. We are looking to hire a Research Developer with extensive R and/or python development skills. If interested (below), please contact me directly on osklyar at ahl.com: Man Group / AHL Research Developer [3040] Man is a world-leading alternative

Hi R-users Can the users let me know how to do MGARCH estimate (Bivariate GARCH) and volatility forecast for 2 variables in R. thanks and regards snvk

Hi All, I am trying to install JGR GUI for R (windows xp) but facing the problem. The following error message is displayed when I click on JGR.exe "Cannot find Java/R Interface (JRI) library (jri.dll) Please make sure you start JGR by double clicking the JGR.exe program" I know this is R help forum, but trying to get help from experts who are using JGR. Any help or idea will be

Hi All I have these questions and request members expert view on this. a) I have a dataframe (df) with five factors (identity variables) and value (measured value). The id variables are Year, Country, Commodity, Attribute, Unit. Value is a value for each combination of this. I would like to get just the unique combination of Commodity, Attribute and Unit. I just need the unique factor

Hi, i heard many things about tinc, good and not so good :-), so i tried for myself. First, we use here a larger vpn (about 30 subnets) at time with OpenVPN. OpenVPN only supports PointToPoint connections so the setup is complex. Many transport Networks, many routes. The examples from your Webpage are nice, but i think a nicer way to use the strengh of tinc is: We define a Subnet where all

After making quite a few circles around one particular issue (and eventually resolving it) I have a suggestion to make: Append the following to http://www.openssh.org/faq.html#2.7 "NOTE: In order to agent forwarding to work you need to have xauth installed in the remote host. In Debian xauth is in 'xbase-clients' package." And about that "F" in

I am always deleting the wine dir, and i'd like to keep a few applications elsewhere. One of these apps (interstate '76) needs compatibility mode window 98. Anyway, if a solution also works on windows, wonderful (though the solutions i've seen required installation of something, and that's no good for me since i want the game portable), but if it only works one wine, that is ok.

OK, I have done all the stuff at my end and at Bellsters end to add 21 new area codes (all of california) to the Bellster dial plan. Pretty cool deal! I hope others go for this quickly - as it could be a really nice co-op. I do suggest to Jeff - do some sort of calling trunk -vs- routed trunk match to make sure that someone can't run their credits sky-high by making calls through

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Hi, This is probably trivial to most people out there, but I'm struggling with this. I have a data set which contains the closing prices (properly adjusted for dividends and splits) for several hundred securities and the closing prices for a general stock market index (S&P 500). I have no problem getting it into R with RODBC and manipulating it. There are no missing values. I can

Hi all, I am trying to calculate the variance ratio of a time series under heteroskedasticity. So I know that the variance ratio should be calculated as a weighted average of autocorrelations. But I don't find the same results when I calculate the variance ratio manually and when I compute the M2 (M2 for heteroskedasticity) variance ratio using Lo.Mac function in R. Anybody knows what

Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be greatly

Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be greatly

Dear Rhelp I am first time user of R and I have the following questions: 1. How I can load my data (it is a matrix 10x1618) with the titles of the variables in the first row? 2. How I can run vrtest to calculate Variance Ratio Tests for Weak-form Market Efficiency? Thanks in advance. Jasim ____________________________________________________________________________________ the