R Packages Development
1. JFE 1.0 (Just Finance and Econometrics, 2017/12/2)
Download example data: IBM.RData for Price Analytics, world20.RData for Asset Selection and Portfolio Backtesting, and DJ30.RData for Portfolio Backtesting
R Package: Just Finance and Econometrics
- Price Analytics loads price data from .RData. Technical charting needs OHLC data
- To use this function, you must have a time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset IBM.RData to practice.
- Assets Selection here is basically based on, for example, Sharpe ratio inequality. The method is designed for Internaitonal Asset Selection, interested reader please refer to Bekaert and Hodrick(2009,International Financial Management,PP.466-468). We provide more performance indices based on the R package PerformanceAnalytics.
- To use this function, you must have a multivariate time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset world20.RData to practice, which is 20 country price indices of MSCI world index.
- If the loaded data is price, then you have to pull down the menu and choose Transform Price Data, else, Load Returns Data
- Portfolio Backtesting here is basically based on R package fPortfolio. The method is designed for portfolio optimization, JFE provides more covariance estimators and GMVP strategy for backtesting. JFE offers a comprehensive computation(Backtesting All in One) for 6 covariance estimators combined with 2 strategies, which is a little bit time-consuming, 3-min for DJ30 dataset.
- To use this function, you must have a multivariate time series dataset with R format, xts is most encourgaed; and the file is saved in .RData or .rda. Users may download the dataset DJ30.RData to practice, which is close price of Dow Jones 30 component Stocks.
- If the loaded data is price, then you have to pull down the menu and choose Transform Price Data, else, Load Returns Data.
- The Next-Month Advice is the output bottom is the assets weights suggestion computed by backtesting for the next period from the end of data. The rolling length is 1 month and estimation is 1 year, which are not allowed to change so far
2. pdR 1.5 (2017/1/2)
- pdR1.5 已經於
2017/11/25 更新，可從R官網下載或由網路 install 。
(1) 新增 panel linear model 的 GUI iClick.plm for panel linear
models. Bootsrapping fixed-effect model included.
ptm( )的宣告，原來的 max_lag 是針對Hansen範例而設計的，為求一般架構使用，本版本已經將之去除。
(a) 除了將Hansen (1999)的panel threshold model
的程式，一般化為可允許多個受 threshold variable 控制的解釋變數（Hansen 教授釋出的的原始碼，只允許 1
(b) Chang (2002, JE)的以 IGF (Instrument Generating Function) 為本的 panel
unit root test函數：IGF()和pIGF()
(c) 提供example和data。唯 ptm() 必須 un-mark #, 再Run，因為抽樣太久，在打包check
HEGY 形式之 Panel seasonal unit root test 的估計與檢定. 這個函數，使用了 Javier
Lopez-de-Lacalle 在 "https://github.com/cran/uroot/blob/master/R/hegy.R"
的原始程式估計HEGY單變量檢定，以及Otero et al. (2005, 2007, Economics Letters) 的panel-data
- 未來，我們將在 pdR1.6 時，提供：Quantile panel data regression with multiple structural changes.
(2017/11/25, CRAN) Download example file.
新增 linear model 的 GUI iClick.lm for linear
models. Bootsrapping included.
iClick is a button-based GUI(Graphical Users'
Interface）, its development is based on tcltk.
iClick.GARCH returns an 8-distribution results with output saved selection.
Asset Price Visualization
GVARX 1.0 (Global VARX)