Rmetrics White Papers

Rmetrics White Papers

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


 


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