Tagged Questions
-2
votes
0answers
54 views
How to filter illiquid days? [closed]
Suppose I have an xts object or a data frame or data in csv format and would like to filter the data by getting rid of the illiquid days or the days that have observations that are less than a fixed ...
3
votes
2answers
265 views
Using variance ratios to test for mean reversion
Can you use the variance ratio test to determine whether or not a time series is mean reverting? I'm using the Lo.Mac function in the ...
2
votes
1answer
752 views
How to fit ARMA+GARCH Model In R?
I am currently working on ARMA+GARCH model using R. I am looking out for example which explain step by step explanation for fitting this model in R. I have time series which is stationary and I am ...
7
votes
1answer
589 views
Why does the following data fail my cointegration test?
I have some closing price data for two Australian banks which track each other very closely.
http://dl.dropbox.com/u/12337149/stat/CBA.csv
http://dl.dropbox.com/u/12337149/stat/WBC.csv
Code from ...
5
votes
0answers
473 views
Alternative to Block Bootstrap for Multivariate Time Series
I currently use the following process for bootstrapping a multivariate time series in R:
Determine block sizes - run the function b.star in the np package which produces a block size for each series
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