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<TITLE>Rmetrics::FAQ</TITLE>
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<B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="7"><FONT COLOR="#7F0000">NEXT?
</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><B><FONT SIZE="3"><FONT COLOR="#7F0000">www.rmetrics.org</FONT></FONT></B></FONT></P>
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<FONT FACE="Arial,Helvetica,Monaco" SIZE="2"><B>
2004-10-11 Rmetrics 200.10058
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">
What is Rmetrics?
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">Rmetrics is a
collection of several hundreds of functions which may be useful for
teaching "Financial Engineering" and "Computational
Finance". These functions are available for R, “GNU’s
S”. This is a freely available language and environment for
statistical computing and graphics which provides a wide variety of
statistical and graphical techniques.</FONT></FONT>
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2">The functions have
their source in algorithms and functions written by myself, my
students, and many other authors. A major aim is to bring financial
algorithms and concepts together under a common software platform and
to make it public available mainly for teaching financial engineering
and computational finance. Rmetrics is not part of
<A HREF="http://cran.r-project.org">CRAN</A>,
Rmetrics is an initiative by its own. Rmetrics has some aims similar
like <A HREF="http://www.bioconductor.org">Bioconductor</A>. Rmetrics
is an open source and open development software project.</FONT></FONT>
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<FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">What
</FONT></B></FONT></FONT><B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><FONT COLOR="#7F0000">is
coming next</FONT></FONT></FONT></B><FONT FACE="Arial,Helvetica,Monaco"><FONT SIZE="2"><B><FONT COLOR="#7F0000">?</FONT></B></FONT></FONT></P><BLOCKQUOTE><PRE><B>fBasics:</B><BR> <U>New Topics:</U> <BR> Import from forecasts.org<BR> Add to Refcard colMeans<BR> Parameterization for hyp/nig<BR> Parameterization for stable<BR> Plot Machina Effect<BR> Plot Lagged Correlations<BR> <U>New Examples:</U> <BR></PRE><PRE><!-- $MVD$:spaceretainer() --> </PRE><PRE><B>fSeries: </B><BR> <U>New Topics:</U> <BR> Merge summary.fARMA with print.summary.fARMA<BR> Merge summary.fGARCH with print.summary.fGARCH<BR> Long Memory Behaviour and Hurst Exponent <BR> Unit Root and Cointegration Tests [urca] <BR> GARCH Heteroscedastic Modelling <BR> Systems of Regression Equations [systemfit] <BR> Vector Autoregressive Modelling [dse] <BR> State Space Models [dse] <BR> <U>New Examples:</U> <BR> Zivot/Wang Chapter 3 - ARMA Modelling <BR> Zivot/Wang Chapter 4 - Unit Roots <BR> Zivot/Wang Chapter 6 - Time Series Regression <BR> Zivot/Wang Chapter 7 - Univariate GARCH <BR> Zivot/Wang Chapter 8 - Long Memory <BR> Zivot/Wang Chapter 9 - Rolling Analysis <BR> Zivot/Wang Chapter 10 - SUR <BR></PRE><PRE><!-- $MVD$:spaceretainer() --> </PRE><PRE><B>fExtremes: </B><BR> <U>New Topics:</U> <BR> L- and Probability Weighted Moments <BR> Bivariate Copulae <BR> Multivariate Copulae<BR> <U>New Examples:</U> <BR> Zivot/Wang Chapter 5 - Extreme Values <BR></PRE><PRE><!-- $MVD$:spaceretainer() --> </PRE><PRE><B>fOptions: </B><BR> <U>New Topics:</U> <BR> Exponential Brownian Motion<BR> <U>New Examples:</U> <BR></PRE><PRE><!-- $MVD$:spaceretainer() --> </PRE><PRE><B>fBonds: </B><BR> <U>New Topics:</U> <BR> Bond Arithmetic <BR> Yield Curve <BR> Interest Rate Derivatives <BR> Replicated Portfolios <BR> <U>New Examples:</U> <BR></PRE><PRE><!-- $MVD$:spaceretainer() --> </PRE><PRE><B>fPortfolio:</B><BR> <U>New Topics:</U> <BR> Maximum Drawdowns <BR> Markowitz Portfolio <BR> CVaR and DVaR Portfolios <BR> Factor Models <BR> <U>New Examples:</U> <BR> </BODY></HTML>
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