Great news came yesterday with the release of the R In Finance 2011 Presentations. I must attend next year after seeing all that I missed. The Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R (pdf) presentation o...

Conrad Sanderson is preparing version 2.0.0 of his Armadillo templated C++ library for linear algebra and has released a first public beta version 1.99.2. This has been folded into a new release of the RcppArmadillo wrapper for R based on our Rcpp li...

What can we learn about the difference in structure between a Ledoit-Wolf variance matrix and a corresponding factor model variance? Previously We’ve generated a set of random portfolios with constraints on the risk fractions of a Ledoit-Wolf variance matrix, and a corresponding set of random portfolios with risk fraction constraints from a statistical factor model. … Continue reading...

10. Can't crack that hard Sudoku problem?? Use R!9. Want to pick a skill that will give you an early adopter advantage?? Learn R! It is the leading open source statistical and data analysis programming language, and is heating up! 8. Need to ...

10. Can't crack that hard Sudoku problem?? Use R!9. Want to pick a skill that will give you an early adopter advantage?? Learn R! It is the leading open source statistical and data analysis programming language, and is heating up! 8. Need to ...

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,