I owe someone at the Fed a beer for all the recent additions at http://research.stlouisfed.org/fred2/. I have covered some in Spreads and Stress and Gifts from BAC ML and the Federal Reserve. The newest addition 8 Chicago Fed Indexes Added ...
300 search results for "quantmod"
Clustering with Currencies and Fidelity Funds
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...
Eigen-who? How Can I Write About Eigen-anything and Expect You to Read?
After the very nice Convore reply @timelyportfolio some of your posts include "eigenvalue ratio plots" -- kindly tell us what they show and how they might be useful in constructing a portfolio. I felt like I should at least attempt to offer a little m...
Utility Spread and Financial Turbulence Part 2 with Utility Slope
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I did not intend for this to be a two-part series but I just could not be complacent with Utility Spread and Financial Turbulence (for avid readers, there was a sm...
Utility Spread and Financial Turbulence
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. In Long XLU Short SPY Part 2 (More History), I explored the defensive nature of the spread and its potential as a bond substitute in troublesome periods for stocks...
Long XLU Short SPY Part 2 (More History)
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. The Fed is on a roll adding BAC ML Bond Indicies and now complete history for the four primary Dow Jones Indexes, so I wanted to extend my first post Long XLU Shor...
Long XLU Short SPY
THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash. I generally dislike spreads...
Spreads and Stress
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 ...
Wonderful New Blog TimeSeriesIreland
I returned from Scotland to find a wonderful new blog from Ireland http://timeseriesireland.wordpress.com. To highlight his work, I thought I would apply his most recent post AIB Stock Price, EGARCH-M, and rgarch to the S&P 500. Clearly...
Gifts from BAC ML and the Federal Reserve
Bank of America Merrill Lynch and the Federal Reserve Bank of St. Louis Fed continue to surprise me with even more gifts. This time they added Emerging Market Bond Indexes with history back to 1998 (cannot see Asia Pacific Crisis of 1997-1998 but...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
