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Rick

Last seen: 3 months ago |  Active since 2014

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Answered
fints toweekly vs timetable retime
Nicola, Could you please explain your coment "I correctly get all wednesdays and the previous working day for the two cases (26...

5 years ago | 0

Answered
Is there any equivalent to lag function for non-regular timetable?
Maxime, In the event the data is regular, timetable/lag and fints/lagts do the same thing. However, all fints/lagts does is shi...

5 years ago | 0

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Data_DieboldLi.zip
Stochastic State-Space Modeling in Finance

7 years ago | 4 downloads |

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WRONG FUNCTION? - Partial Autocorrelation (PACF) - parcorr greater than 1 (>1)
Hi Bruno, Thanks for sending along the links. It appears as if the R implementation computes the PACF by iteratively solving...

10 years ago | 0

Answered
WRONG FUNCTION? - Partial Autocorrelation (PACF) - parcorr greater than 1 (>1)
Bruno, My initial reaction is that this not a bug, but rather a result of different algorithms used to compute the PACF. For...

10 years ago | 0