As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or...
I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:
As the market has already started to poke holes in Draghi’s promise, I thought it would be good to continue the series of posts that I began with the British version “We Will Do Whatever it Takes” with my favorite article written during the Asia ...
When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique. As I should have guessed, it worked with only a mini...
After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...
Macro analysis of Japanese trade in posts Japanese Trade and the Yen and Japan Trade by Geographic Region revealed some very interesting changes. Since the Korean Won is so undervalued versus the Japanese Yen on a Purchasing Power Parity (PPP) ba...
To further the analysis presented in Japanese Trade and the Yen, I thought I would take the more granular data provided by the Japanese Ministry of Finance on trade by geographic region. Of course, I will use R to read, analyze, and plot the .csv...
I have had the pleasure over the last couple of weeks to help plan the CFA Society of Alabama 2012 Dinner featuring Jim Rogers and Barron’s Senior Editor Jack Willoughby. The event was fantastic, and I would like to publicly thank Jim Rogers an...
Since I explored the relationship between the Japanese Yen and the US 10y Treasury Yield on Friday, I thought it might be worthwhile to extend the exploration to a much broader range of currencies. I personally am most interested on how Asian Central B...
Most of the discussion trying to determine if the U.S. is Japan 20 years later focuses on the economy and the stock market. However, one of the biggest and most persistent correlations between Japan and the U.S. are the Japanese Yen and the U.S. ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
