"LFP" == Luis Felipe Parra
on Mon, 28 Mar 2011 09:10:33 +0800
LFP> Hello. I am trying to use the portfolio backtesting function
LFP> in fPortfolio
LFP> package, but I don't now why in my version of fPortfolio I
LFP> don't have either
LFP> the portfolioBactest nor the port
"JL" == Johannes Lips
on Tue, 15 Feb 2011 16:07:50 +0100
JL> Hello,
JL>
JL> I'm quite new to R but tried to learn as much as possible in
JL> the last
JL> few months.
JL> My problem is that I would like to estimate the model of Leon
JL> et al. (2005).
JL> I have s
On Aug 15, 2010, at 11:14 PM, Marius Hofert wrote:
> Dear David,
>
> thanks for the quick response. Yes, I tried "formula", but this gives the
> error "Multivariate data inputs require lhs for the formula."
>
> library(fGarch)
> spec <- garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
"HYC" == helen...@utoronto.ca
on Tue, 09 Feb 2010 22:07:27 -0500
HYC> Dear Sir/Madam,
HYC>
HYC> May I know if there is any function that estimates the ARCH
HYC> or GARCH
HYC> models based on truncated likelihood?
HYC>
HYC> Thanks,
HYC> Helen
Hi Helen,
TLE has b
"JM" == Joseph Magagnoli
on Wed, 29 Apr 2009 14:54:26 -0500
JM> > garchFit(formula.mean= ~arma(2,2),formula.var=~garch(1,1),
JM> data=data1)
JM> Error in garchFit(formula.mean = ~arma(2, 2), formula.var =
JM> ~garch(1, :
JM> element 1 is empty;
JM> the part of the args
"EN" == Elizabeth Nichols
on Thu, 05 Mar 2009 05:45:40 -0500
EN> Hello:
EN> I am trying to use fCalendar for date arithmetic and the
EN> RMySQL package
EN> for accessing a MySQL database. The fCalendar math operations
EN> seem to
EN> work fine UNTIL I load the RMySQL
"TB" == Ted Byers
on Wed, 28 Jan 2009 11:25:55 -0500
TB> That the two behave the same doesn't change the assessment
TB> that the design
TB> is flawed. That doesn't mean that the function is wrong.
TB> It means only
TB> that the behaviour can be made more useful. For exa
"TB" == Ted Byers
on Wed, 28 Jan 2009 09:30:58 -0500
TB> It is certain that all entries have the same format, but I'm
TB> starting to
TB> think that the error message is something of a red herring.
TB> Consider this:
TB>
TB> > year = 2009
TB> > week = 0
TB> > day
"TB" == Ted Byers
on Tue, 27 Jan 2009 16:00:27 -0500
TB> I wasn't even aware I was using midnightStandard. You won't
TB> find it in my
TB> script.
TB>
TB> Here is the relevant loop:
TB>
TB> date1 = timeDate(charvec = Sys.Date(), format = %Y-%m-%d)
TB> date1
T
"TB" == Ted Byers
on Tue, 27 Jan 2009 11:36:22 -0500
TB> What I have found so far includes:
TB>
TB> library(Rmetrics)
TB> time1 = timeDate(charvec = Sys.Date(), format = %Y-%m-%d,
TB> zone = ,
TB> FinCenter = )
TB> time2 = timeDate(2004-08-30, format = %Y-%m-%d, zon
"TY" == Ted Young
on Tue, 30 Dec 2008 11:53:23 -0800 (PST)
TY>
TY> Hello,
TY>
TY> I was using garchFit {fGarch} to fit some GARCH processes.
TY> I noticed that the result contains Log Likelihood value
TY> (right above
TY> Description), but when I use @fit to ret
"JK" == "John Kerpel"
on Tue, 16 Dec 2008 13:26:27 -0600
JK> DTB6<-alignDailySeries(DTB6, method = "interp",include.weekends = FALSE,
JK> units = NULL)
JK> Error in getDataPart() :
JK> no '.Data' slot defined for class "timeSeries"
JK>
JK>
JK> What's causing thi
Thanks for the report,
the problem boils down to the call of "methods:::bind_activation(TRUE)"
in one of the depended package.
I can reproduce the problem with
> methods:::bind_activation(TRUE)
> dfr <- data.frame(matrix(0, nrow = 1 , ncol = 1000))
> dfr2 <- is.na(dfr)
I will forward you remar
"DM" == David Masson <[EMAIL PROTECTED]>
on Wed, 05 Nov 2008 15:13:37 +0100
DM> I have a question concerning avoiding loops.
DM> I know the function "apply" and I have used it several times, but I feel
DM> blocked
DM> with this situation :
DM>
DM> E <- array(X, dim =
"C" == collonil <[EMAIL PROTECTED]>
on Mon, 18 Aug 2008 07:35:09 -0700 (PDT)
C> Hallo,
C> i want to fit a GARCH model with a extern regressor (without arma
C> components), so i found the following function in package fGarch. I tryed
C> out a lot of things but usually I get th
Hi,
As far as I can tell, your code looks very similar to the example of
the paper "Parameter Estimation of ARMA Models with GARCH/APARCH
Errors" available at the rmetrics website. In this paper you can also
find an example how to calculate the hessian matrix.
What is the dataset and the paramete
"JPB" == "John P. Burkett" <[EMAIL PROTECTED]>
on Tue, 12 Aug 2008 10:46:28 -0400
JPB> Running R version 2.6.1 under Gentoo Linux and using the fPortfolio
JPB> package, I am having trouble specifying a sector constraint. One of the
JPB> constraints to be imposed is that assets
"SVK" == "Shubha Vishwanath Karanth" <[EMAIL PROTECTED]>
on Thu, 7 Aug 2008 20:38:12 +0530
SVK> Yes Henrique... we are connecting to the internet through a proxy...
This is probably not a problem of connection.
Make sure that you have the latest version of fImport installed.
hop
"SVK" == "Shubha Vishwanath Karanth" <[EMAIL PROTECTED]>
on Thu, 12 Jun 2008 12:02:25 +0530
SVK> Hi R,
SVK>
SVK>
SVK>
SVK> Please see the below commands. The question is I can see the value of
SVK> log(2) before loading the package fcalendar in R. But after loading
"CLG" == Celine LE-GOAZIGO <[EMAIL PROTECTED]>
on Mon, 2 Jun 2008 13:19:35 +0200
CLG> Hi.
CLG>
CLG> I am trying to load the package fSeries, in order to load
CLG> the package
CLG> fGarch after.
CLG> However, it says the following message.
Dear Celine,
Please make su
"PDJW" == "Prof. Dr. Joachim Werner" <[EMAIL PROTECTED]>
on Fri, 16 May 2008 12:55:32 +0200
PDJW> Hi,
PDJW> can anybody help me concerning ther following problem:
PDJW> We do simulations with fARMA and use the function armaSim,
PDJW> which
PDJW> requires the input paramet
"CA" == "chockri adnen" <[EMAIL PROTECTED]>
on Wed, 30 Apr 2008 13:34:42 +0200
CA> My problem in a few words is as folow:
CA> I used the fCopulae packages because i have 2 series which
CA> are already
CA> transformed in the uniform domain (the space of the copulas
CA> fun
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