[R-SIG-Finance] rmgarch arguments

Dear all, As a beginner to R, specially to rmgarch package, I have been struggling to understand what the arguments in dccspec, dccfit, dccforecast and dccsim functions are for. Thanks to Alexios and the help() in R, I am getting used to some of them. But still I can't understand what the

Re: [R-SIG-Finance] rmgarch arguments

Mamush, The dccOrder is simply the autoregressive order of the DCC model (I though it was self explanatory). If you are unsure about DCC models, the help (?dccspec) contains a list of references to the relevant literature which you might like to consult. Regards, Alexios On 13/03/2012

[R-SIG-Finance] Abnormal returns in R

Hello This is my first post on this forum and I hope someone can help me out. I have a datafile (weeklyR) with returns of +- 100 companies. I acquired this computing the following code: library(tseries); tickers = c(GSPC , BP , TOT ,ENI.MI , VOW.BE , CS.PA , DAI.DE ,

[R-SIG-Finance] Abnormal returns in R

Hello This is my first post on this forum and I hope someone can help me out. I have a datafile (weeklyR) with returns of +- 100 companies. I acquired this computing the following code: library(tseries); tickers = c(GSPC , BP , TOT ,ENI.MI , VOW.BE , CS.PA , DAI.DE ,

Re: [R-SIG-Finance] Abnormal returns in R

On Tue, 2012-03-13 at 14:44 +0100, Senne Van Handenhove wrote: Now I need to make a market model in R so i can generate abnormal returns from these stocks. As market index I would like to use the GSPC. I also need to consider abnormal returns calculated over a sixty-trading-day window. Can

[R-SIG-Finance] Problems with values in blotter portfolio and end equity

Hi I have found a mismatch with values in blotter. I try to explain. I have a xts object containing the prices (Open, Hi, Low, Close) of a stock. Using blotter portfolio and account, I made a simple trading system using moving averages as signals. I made my experiments adding only few

[R-SIG-Finance] Black Scholes 3d plot

Hello all! I would like to create a 3d plot, with the option price explained by the underlying price and time. Unfortunately, I can't quite get it to work. I would very much appreciate your help! Thanks, Anna # Black-Scholes Option Graph library(lattice) blackscholes - function(s, k,

[R-SIG-Finance] Is there R code for measuring information coefficient?

Hi all, In Grinold's book, the key formula involve information coefficient and breadth... How do we measure these in R? Any package does these? Thanks a lot! [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list

[R-SIG-Finance] quantmod/addTA/.GlobalEnv question

I know this issue has been raised before but was unable to find the right solution. When I am trying to do addTA to a chartSeries plot, from inside a function, it expects the arguments of addTA to be in the .GlobalEnv. Even after wrapping the chartSeries call inside plot(), it does not work.

Re: [R-SIG-Finance] Is there R code for measuring information coefficient?

On Tue, 2012-03-13 at 16:52 -0500, Michael wrote: In Grinold's book, the key formula involve information coefficient and breadth... How do we measure these in R? Any package does these? http://lmgtfy.com/?q=information+ratio+r-project+# ___

Re: [R-SIG-Finance] Is there R code for measuring information coefficient?

Thanks Brian. I have read for example the following documents: http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.pdf However, I am looking for the information coefficient not information ratio/sharpe ratio, etc. Thank you! On Tue,

Re: [R-SIG-Finance] Is there R code for measuring information coefficient?

On Tue, 2012-03-13 at 20:54 -0500, Michael wrote: Thanks Brian. I have read for example the following documents: http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.pdf However, I am looking for the information coefficient