[R-sig-finance] Common project

[Molins, Jordi]

Hello to everybody,

some time ago in this list, it appeared to me that some people wanted to
involve others into common projects. I want to add to this idea with a
project:

I have read in diagonal the following paper:	

 <<Waelti_Contagion_Central_Europe.pdf>> 
and I find it interesting (I define "interesting" both as something
intellectually interesting and something with a possibility to be applied to
real trading). However, as many interesting things in life, it requires to
devote a lot of time implementing it. And I do not have so much time.
However, I know that sharing efforts between people could make the project
doable.

The project, in few words, would be the following:

develop the model described in the paper, consisting mainly in the shocks
produced by US monetary policy into Central European economies. The
relationship among these economies is also of interest. And, in the end,
reproduce fully their results.

Is there somebody interested? maybe somebody has already taken a look at the
paper? or maybe somebody has worked out a similar example that could be
applied more or less directly to this one?

Since I guess everybody is pretty busy here, I suggest just to send R code
to r-sig-finance at stat.math.ethz.ch

I have not written any code yet, but if I see that there are enough people
interested, I promise to add to the project.

Rgrds and hoping to hear from the finance list soon

Jordi



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