[R-sig-finance] TAR

[Jeffrey Todd Lins]

Thanks.

I will have a look at the product spec when it is released.

Most of interest would be MS for state space models.

Jeff

-----Original Message-----
From: Eric Zivot [mailto:ezivot at u.washington.edu]
Sent: Friday, July 02, 2004 10:26 PM
To: Jeffrey Todd Lins; r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-sig-finance] TAR


While somewhat off topic, The TAR models described in the Hansen paper have
been implemented in Splus for the next release of S+FinMetrics. Also
included will be STAR models and Markov switching models.
ez

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Jeffrey Todd
Lins
Sent: Friday, July 02, 2004 1:01 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-sig-finance] TAR


If you do implement the TAR estimation in R, I would be very interested in
seeing it.


Jeff


Med Venlig Hilsen | Yours sincerely

Jeffrey Todd Lins  | Director - Quantitative Analysis

Saxo Bank A/S | Smakkedalen 2 | DK-2820 Gentofte Company phone: +45 39 77 40
00 | Direct phone: +45 39 77 40 81 | Fax number: +45 39 77 42 00 Please
visit our website at: http://www.saxobank.com <http://www.saxobank.com/>





This email may contain confidential and/or privileged inform...{{dropped}}

_______________________________________________
R-sig-finance at stat.math.ethz.ch mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-sig-finance



This email may contain confidential and/or privileged inform...{{dropped}}