[R-SIG-Finance] What's are some go-to packages in R/Finance for detecting shocks in financial time series?
armstrong.whit at gmail.com
Tue Sep 29 00:38:15 CEST 2015
Not a package, but have a look at this paper.
Skulls, Financial Turbulence, and Risk Management
Windham Capital Management
On Mon, Sep 28, 2015 at 5:55 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> So, I'm back to researching trading strategies on volatility. However, as
> the mailing list knows, volatility ETFs are characterized by price shocks
> more often than not, causing rapid drawdowns. One example would be, say,
> the closing price of XIV from late April to mid-May in 2010, late 2011, the
> SPY correction in 2011, or the more recent one last month during the China
> Does anyone have any R package that they can recommend for detecting such
> quick corrections in a systematic manner?
> Thanks a lot.
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