Hi Brian, thanks a lot for your pointers! I've taken a look at the book and the R example website. That's super! Some of the examples there are very good.
Yet I am still looking for Fama 3 factor model and Ross' APT implementation. The concept is not hard per se, however I am not sure how to classify some companies as H, and some companies as L and others as Value companies, and the others as Growth companies. There are a lot of implementation details that I am not sure of. Thus I guess learning from other people's implementation is a better approach for me as a green-hand. (The Rmetrics are not very complete I guess.) Thanks a lot Brian and thanks everybody... On 11/13/06, Brian G. Peterson <[EMAIL PROTECTED]> wrote: > > On Sunday 12 November 2006 22:41, Michael wrote: > > > I am also looking for interesting statistical experiments about > > > testing and estimating CAPM, APT, Fama models, etc. > > > using R using financial series data... > > > please give me some pointers... I have been searching > > > the R archives for the past a few hours and I vaguely got to know > > > that there are programs do these interesting statistical things, but > > > I just could not find where are they... > > Look at at the 'portfolio' and 'RMetrics' packages. RMetrics is actually > a group of packages, not just a single module. These should give you > CAPM and more. > > I can also recommend this excellent introductory book: > > http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706 > Statistics and Finance: An Introduction by David Ruppert > > with R examples available here: > http://www.stat.tamu.edu/~ljin/Finance/stat689-R.htm > > Once you've worked on this for a while, if you need pointers on a specific > problem, this list may be able to be of greater assistance. > > Regards, > > - Brian > > _______________________________________________ > [EMAIL PROTECTED] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
