1689 search results for "time series"

Long XLU Short SPY

May 20, 2011
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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...

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Spreads and Stress

May 20, 2011
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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 ...

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Porting Stata-like Marginal Effects to LaTeX

May 19, 2011
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Porting Stata-like Marginal Effects to LaTeX

The TimeSeriesIreland Blog posted an excellent start on a function that automatically computes marginal effects for probit and logit models. As I have always wanted an easy-to-use function that computes and reports marginal effects in R, I was elated ...

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Porting Stata-like Marginal Effects to LaTeX

May 19, 2011
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Porting Stata-like Marginal Effects to LaTeX

The TimeSeriesIreland Blog posted an excellent start on a function that automatically computes marginal effects for probit and logit models. As I have always wanted an easy-to-use function that computes and reports marginal effects in R, I was elated ...

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Stata-like Marginal Effects for Logit and Probit Models in R [2]

May 18, 2011
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Stata-like Marginal Effects for Logit and Probit Models in R [2]

My thanks to those who emailed comments and suggestions for my ‘mfx’ function, I’m happy that I could fill a void for some people. I also received a request/suggestion from Tony Cookson, along with a helpful fix for a bug in the code, to include an option that would allow the user to specify values

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Russell Napier, ASIP in FT Says Emerging Market Currencies

May 17, 2011
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Russell Napier, ASIP in FT Says Emerging Market Currencies

Clearly I have succumbed to confirmation bias, since my second favorite presentation from the CFA Institute Annual Conference this year came from Scotland native Russell Napier, ASIP who shares my views nearly completely http://video.ft.com/v/946244201...

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AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011
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AIB Stock Price, EGARCH-M, and rgarch

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,

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Omega as Optimizer

May 16, 2011
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Omega as Optimizer

During Jan Straatman’s presentation, I tweeted Jan Straatman #cfa2011 In real life no normal distributions so use omega function to optimize actual returns After the presentation, I asked Jan his second choice for optimization after Omega, and he re...

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R-Bloggers

May 15, 2011
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R-Bloggers

This is my first post on the R-Bloggers feed. R-Bloggers is an excellent collection of R-related blogs and sites for R enthusiasts. Add it to your bookmark list, for those who haven’t already done so, and my thanks to those who maintain the site ...

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Cointegration, R, Irish Mortgage Debt and Property Prices

May 15, 2011
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Cointegration, R, Irish Mortgage Debt and Property Prices

As a follow-up to my post examining the stationarity of the new property price index, this post will briefly look at some of the dynamics of mortgage debt and property prices; all data is monthly, from the beginning of 2005 to March 2011. This will also serve as an illustration of the ‘vars‘ and ‘urca‘

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