Articles by From Guinness to GARCH

Monitoring an ETF Portfolio in R

July 1, 2013 | From Guinness to GARCH

Adam Duncan Also avilable on R-bloggers.com Some time ago, I read an interesting article about an interview with David Swensen, the renownd money manager from Yale University’s investment office. He’s quite famous and is considered by many to be the architect of the modern “endowment portfolio.” The ...

[Read more...]

Creating Jekyll blog posts from R.

June 3, 2013 | From Guinness to GARCH

Adam Duncan Also avilable on R-bloggers.com Setting up a Jekyll/Jekyll Bootstrap blog site is a very worthwhile experience. Should you choose to use Jekyll as your blogging platform, you will find many resources out there describing the setup process. This post is not about getting set up using ...

[Read more...]

Volatility Regimes: Part 2

May 5, 2013 | From Guinness to GARCH

Adam Duncan from January, 2013Also avilable on R-bloggers.com Strategy Implications In this part of the volatility regimes analysis, we’ll use the regime identification framework established in part 1 to draw conclusions about which strategies work best is each regime. That should prove useful to us and goes a long ... [Read more...]

Volatility Regimes: Part 1

May 1, 2013 | From Guinness to GARCH

This is a ‘do over’ of a project I started while at my former employer in the fall of 2012. I presented part 1 of this framework at the FX Invest West Coast conference on September 11, 2012. I have made some changes and expanded the analysis since then. Part 2 is complete and will ... [Read more...]

Measuring the Intensity of Historical Crises with VaR (Part 2)

April 4, 2013 | From Guinness to GARCH

Adam Duncan, December 2012Also avilable on R-bloggers.com If you missed the first part of this analysis, be sure to check it out on gtog.github.com.In this part of the analyis, I’m going to look at the actual 1 day negative returns / VaR estimates (“VaR breaks”) across a ... [Read more...]

Measuring the Intensity of Historical Crises with VaR

March 3, 2013 | From Guinness to GARCH

Adam Duncan, December 2012Also avilable on R-bloggers.com Prelude These posts are written with dual purpose: 1) Hopefully provide some insight or inspiration into a topical issue in finance from a practioners perspective, and 2) show how to use R to craft an analysis and produce nice output. The posts are written ... [Read more...]

Articles by From Guinness to GARCH

Never miss an update! Subscribe to R-bloggers to receive e-mails with the latest R posts. (You will not see this message again.)

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)