This page lists selected documents from ETH/Rmetrics publications. Included are working papers, and some
white papers like notes, data descriptions, and R vignettes.
2015
Marktvertrauen, Marktpräsenz, Vertrauenszyklen: Drei neue Bayes'sche
Finanzmarktindikatoren
Tobias Setz und Diethelm Würtz
ETH/Rmetrics Document No. 2015-07
Die
Bund Future Korrektur im May 2015: Eine retrospektive Analyse
Diethelm Würtz und Tobias Setz
ETH/Rmetrics
Document No. No. 2015-06
Screening
for Stable Funds: A Bayesian Rating and Ranking Approach
Tobias Setz and Diethelm Würtz
ETH/Rmetrics
Document No. 2015-05
Good Investments are Stable: Analysis of Dynamical Asset Allocation Strategies
Tobias
Setz and Diethelm Würtz
ETH/Rmetrics Document No. 2015-04
Size and Style Variability of Stability Filtrations: A Country and Regional Stock Market
Study
Tobias Setz and Diethelm Würtz
ETH/Rmetrics Document No. 2015-03
Der
SNB Entscheid zum Euro-Franken Kurs: Eine retrospektive Analyse
Diethelm Würtz und Tobias
Setz
ETH/Rmetrics Document No. 2015-02
Downdraft
Hedging: Dynamic Wealth Protection for Equity/Bond Investments
Tobias Setz and Diethelm
Würtz
ETH/Rmetrics Document No. 2015-01
2014
Bayesian
Stability Filtrations: Indicators, Signal Strengths, and Position Thresholds
Tobias Setz and
Diethelm Würtz
ETH/Rmetrics Document No. 2014-05
Computational
Actuarial Science with R: Portfolio Allocation
Yohan Chalabi and Diethelm Würtz
ETH/Rmetrics
Document No. 2014-04
Computational
Actuarial Science with R: Stock Prices and Time Series
Yohan Chalabi and Diethelm Würtz
ETH/Rmetrics
Document No. 2014-03
'timeSeries'
Package Vignette: Plotting 'timeSeries' Objects
Diethelm Würtz and Tobias Setz
ETH/Rmetrics
No.
2014-02
Bayes'sche
Investment Strategie: Stabilitätsanalyse des Swiss Performance Indexes
Tobias Setz, Diethelm
Würtz, Cyril Bachelard und Lorenz Beyeler
ETH/Rmetrics Document No. 2014-01
2013
Bayesian
Ertragsanalyse von strukturbruchbereinigten dynamischen Prozessen
am Beispiel von Kapitalmarktanlagen
Diethelm Würtz und Tobias Setz
ETH/Rmetrics Document No. 2013-04
New
Directions in Active Portfolio Management: Stability Analytics, Risk Parity, Rating and Ranking, and
Geometric Shape Factors
Diethelm Würtz, Yohan Chalabi, and Tobias Setz
ETH/Rmetrics
Document No. 2013-03
Tailrisiken
in Pensionskassenanlagen und ihre Bewertung im Portfolio Risiko Management
Diethelm Würtz
und Yohan Chalabi
ETH/Rmetrics Document No. 2013-02
Disaggregation
of Financial Market Data: Swiss Stocks, Bonds, Bills and In
ation Benchmarks for 1925-2010
Tobias Setz, Diethelm Würtz, and Yohan Chalabi
ETH/Rmetrics
Document No. 2013-01
2012
Flexible
Distribution Modeling with the Generalized Lambda Distribution
Yohan Chalabi and Diethelm
Würtz
ETH/Rmetrics Document No. 2012-05
Portfolio
Optimization Based on Divergence Measures
Yohan Chalabi and Diethelm Würtz
ETH/Rmetrics
Document No. 2012-04
Financial
Risk Monitoring by Control Strategies
Diethelm Würtz, Yohan Chalabi, Tobias Setz
ETH/Rmetrics
Document No. 2012-03
Stabile
Portfolios in Krisenzeiten: Investitionen auf der Diversifikationslinie als alternatives
Portfolio-Paradigm
Diethelm Würtz, Tobias Setz, Dominik Locher
ETH/Rmetrics Document No.
2012-02
Stability
Parity Indexed Investments: Ein alternativer Ansatz für eine
risikoaverse Vermögensverwaltun
Diethelm Würtz, Tobias Setz, Yohan Chalabi
ETH/Rmetrics
Document No. 2012-01
2011
Personalvorsorge:
Stabile Portfolios in Krisenzeiten
Diethelm Würtz, Tobias Setz, Dominik Locher
ETH/Rmetrics
Document No. 2011-02
Stability
Analytics of Vulnerabilities in Financial Time Series
Diethelm Würtz, Tobias Setz, Yohan
Chalabi
ETH/Rmetrics Document No. 2011-01
2010
Rmetrics
'timeDate' Package
Yohan Chalabi, Martin Mächler and Diethelm Würtz
ETH/Rmetrics Document
No.
2010-02
Robust
Estimation with the Weighted Trimmed Likelihood Estimator
Yohan Chalabi and Diethelm
Würtz
ETH/Rmetrics Document No. 2010-01
2009
Precise
Finite-Sample Quantiles of the Jarque-Bera Adjusted Lagrange Multiplier Test
Diethelm Würtz
and Helmut G. Katzgraber
ETH/Rmetrics Document No. 2009-02
The
Generalized Lambda Distribution as an Alternative Model to Financial Returns
Yohan Chalabi,
David Scott and Diethelm Würtz
ETH/Rmetrics Document No. 2009-01