Since we have the Gifts from BAC ML and the Federal Reserve, I thought I should look at another interesting element of bonds. Bond spreads act as a very strong symbol of financial stability and confidence. The St. Louis Fed Stress Index is ...

It is possible to show that the square root of two can be expressed as an infinite continued fraction. √ 2 = 1 + 1/(2 + 1/(2 + 1/(2 + … ))) = 1.414213… By expanding this for the first four iterations, we get: Read More: 547 Words Totally

Some years ago, Google discovered that when people are concerned about influenza, they search for flu-related information and that to some extent, search traffic is an indicator of flu activity. Google Flu Trends was born. Illness is sweeping through our department this week and I have succumbed. It’s not flu but at one point, I

Hadley Wickham, the Rice professor and prolific R hacker best known as the author of the ggplot2 graphics package, will be coming to San Francisco June 8-9 to deliver his new R Development Master Class (in conjunction with Revolution Analytics). This course will build on the skills of basic R programmers with instruction in advanced R programming techniques, development...

In the early stages of a literature review, you may have hundreds of papers and not know how to even begin sorting through them. In this post, I show you how to perform a two-stage clustering analysis with R so that you can identify the main groups within your data, based on key attributes of each paper.

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,