LFP == Luis Felipe Parra felipe.pa...@quantil.com.co
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
JL == Johannes Lips johannes.l...@googlemail.com
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).
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)))
data -
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 been used in
JM == Joseph Magagnoli jcm...@gmail.com
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 betsy.nich...@plexlogic.com
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
TB == Ted Byers r.ted.by...@gmail.com
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 =
TB == Ted Byers r.ted.by...@gmail.com
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
TB == Ted Byers r.ted.by...@gmail.com
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
TB == Ted Byers r.ted.by...@gmail.com
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.
TY == Ted Young unixuni...@gmail.com
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
JK == John Kerpel john.ker...@gmail.com
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(S4 object of class timeSeries) :
JK no '.Data' slot defined for class timeSeries
JK
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 remark to
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(L,nlon,nlat) )
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
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 this Error.
C
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 1 and 2
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 the
SVK package,
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 sure that all your
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 parameters in list
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 functions) and i
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