[R-SIG-Finance] Time Varying Higher Moments - racd?

Wed May 28 19:35:37 CEST 2014

Thanks Alexios. "jsu" returns a solution quickly. The sigma and
quantile plots appear to be pretty much identical to what was in your
paper. The skewness and kertosis plots do look somewhat different but
I expect that's probably cause by using this different model.

Anyway, the code as supplied in the paper works fine now.

The last issue is not overly important but twinkle didn't install due
to (I think) some missing color definitions in Latex. I'll need to see
if I can find some info on fixing that but the hard stuff appears to
be working.

Cheers,
Mark

Installing twinkle
'/usr/lib64/R/bin/R' --vanilla CMD build
'/tmp/Rtmp5b80e3/devtools9e055940c74/alexiosg-twinkle-9461ed2d91a9'  \
  --no-manual --no-resave-data

* checking for file
'/tmp/Rtmp5b80e3/devtools9e055940c74/alexiosg-twinkle-9461ed2d91a9/DESCRIPTION'
... OK
* preparing 'twinkle':
* checking DESCRIPTION meta-information ... OK
* cleaning src
* installing the package to build vignettes
* creating vignettes ... ERROR
Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  :
  Running 'texi2dvi' on 'The_Twinkle_Package.tex' failed.
LaTeX errors:
! LaTeX Error: Undefined color `violet'.

See the LaTeX manual or LaTeX Companion for explanation.
Type  H <return>  for immediate help.
 ...
! LaTeX Error: Undefined color `violet'.

On Wed, May 28, 2014 at 10:10 AM, Alexios Ghalanos <alexios at 4dscape.com> wrote:
> Hi Mark,
>
> You are probably using the nig or ghyp distributions which do not have a closed form quantile function so it is evaluating it for every point (which is expensive!). Try the jsu distribution instead...it is very flexible and fast to evaluate.
>
> Best,
>
> Alexios
>
>> On 28 May 2014, at 16:13, Mark Knecht <markknecht at gmail.com> wrote:
>>
>> Thanks Alexios. With a bit of guessing about Latex packages I got the
>> appendix directory installed and the R code runs. (Mostly - The first
>> 3 plots are created. I've been waiting for about 20 minutes for the
>> quantile plot to finish but no results on that one yet.
>>
>> Anyway, it works well enough for me to go a bit deeper now.
>>
>> Cheers,
>> Mark
>>
>>> On Tue, May 27, 2014 at 2:08 PM, alexios ghalanos <alexios at 4dscape.com> wrote:
>>> Hi Mark,
>>>
>>> 1. Have a look at the "install_bitbucket" documentation. There is the
>>> option I believe to pass some extra arguments to "install" via '...'.
>>> Specifically the "dependencies" (logical) and "build_vignettes" arguments.
>>> 2. You need to have the "appendix" package in your latex installation
>>> (see the documentation of your linux flavor on how to do this).
>>> 3. fftw on CRAN builds ok for everything but OSX Mavericks...I may
>>> remove it going forward and use the base implementation to avoid too
>>> many problematic dependencies, but would welcome any feedback on speed
>>> comparisons.
>>>
>>> Best,
>>>
>>> Alexios
>>>
>>>> On 27/05/2014 21:43, Mark Knecht wrote:
>>>>> On Tue, May 27, 2014 at 12:59 PM, alexios ghalanos <alexios at 4dscape.com> wrote:
>>>>> Since 2013 the development repository for my packages has moved (a
>>>>> couple of time). See:
>>>>> http://www.unstarched.net/r-downloads/
>>>>> for latest details.
>>>>>
>>>>> -Alexios
>>>>
>>>> Thanks Alexios. I started reading that based on Pierre's response but
>>>> I'm hung up:
>>>>
>>>> 1) I needed the fftw  package to install but it wouldn't as it was not
>>>> finding fftw3. I then  found fftw-3.3.3-r2 in Gentoo portage and think
>>>> I got past that problem.
>>>>
>>>> 2) I'm now just trying to install all the packages shown on yor
>>>> r-downloads page but rmgarch won't install apparently due to (I think)
>>>> Latex issues. I got as far as failing due to something called texi2dvi
>>>> which I found and installed from portage again, but now I have this
>>>> problem due to a missing appendix.sty file I think.
>>>>
>>>> Thanks for any pointers into what I'm doing wrong here.
>>>>
>>>> Cheers,
>>>> Mark
>>>>
>>>>
>>>> R version 3.1.0 (2014-04-10) -- "Spring Dance"
>>>> Copyright (C) 2014 The R Foundation for Statistical Computing
>>>> Platform: x86_64-pc-linux-gnu (64-bit)
>>>>
>>>> R is free software and comes with ABSOLUTELY NO WARRANTY.
>>>> You are welcome to redistribute it under certain conditions.
>>>> Type 'license()' or 'licence()' for distribution details.
>>>>
>>>> R is a collaborative project with many contributors.
>>>> Type 'contributors()' for more information and
>>>> 'citation()' on how to cite R or R packages in publications.
>>>>
>>>> Type 'demo()' for some demos, 'help()' for on-line help, or
>>>> 'help.start()' for an HTML browser interface to help.
>>>> Type 'q()' to quit R.
>>>>
>>>>> require(devtools)
>>>> Loading required package: devtools
>>>>
>>>> Attaching package: ‘devtools’
>>>>
>>>> The following objects are masked from ‘package:utils’:
>>>>
>>>>    ?, help
>>>>
>>>> The following object is masked from ‘package:base’:
>>>>
>>>>    system.file
>>>>
>>>>> install_bitbucket("rmgarch","alexiosg")
>>>> Installing bitbucket repo(s) rmgarch/master from alexiosg
>>>> Downloading master.zip from
>>>> https://bitbucket.org/alexiosg/rmgarch/get/master.zip
>>>> Installing package from /tmp/Rtmpwt0Tnh/master.zip
>>>> arguments 'minimized' and 'invisible' are for Windows only
>>>> Installing rmgarch
>>>> '/usr/lib64/R/bin/R' --vanilla CMD build
>>>> '/tmp/Rtmpwt0Tnh/devtools2a9e1a643c4a/alexiosg-rmgarch-d012deb54925'
>>>> \
>>>>  --no-manual --no-resave-data
>>>>
>>>> * checking for file
>>>> '/tmp/Rtmpwt0Tnh/devtools2a9e1a643c4a/alexiosg-rmgarch-d012deb54925/DESCRIPTION'
>>>> ... OK
>>>> * preparing 'rmgarch':
>>>> * checking DESCRIPTION meta-information ... OK
>>>> * cleaning src
>>>> * installing the package to build vignettes
>>>> * creating vignettes ... ERROR
>>>> Error in texi2dvi(file = file, pdf = TRUE, clean = clean, quiet = quiet,  :
>>>>  Running 'texi2dvi' on 'The_rmgarch_models.tex' failed.
>>>> LaTeX errors:
>>>> ! LaTeX Error: File `appendix.sty' not found.
>>>>
>>>> Type X to quit or <RETURN> to proceed,
>>>> or enter new name. (Default extension: sty)
>>>>
>>>> ! Emergency stop.
>>>> <read *>
>>>>
>>>> l.9 \usepackage
>>>>               [round]{natbib}^^M
>>>> !  ==> Fatal error occurred, no output PDF file produced!
>>>> Calls: <Anonymous> -> texi2pdf -> texi2dvi
>>>> Execution halted
>>>> Error: Command failed (1)
>>>>
>>>>>
>>>>
>>>>
>>>
>>