Have you used "R"?

[Simon James]

Have you used R to help you understand the quantitative material in ST9 as recommended in the Core Reading?

If not, here are some useful links:

Wikipedia link to R:
http://en.wikipedia.org/wiki/R_(programming_language)

Link to QRMlib repository:
http://cran.r-project.org/web/packages/QRMlib/index.html

Documentation of functions in the QRMlib library:
http://cran.r-project.org/web/packages/QRMlib/QRMlib.pdf

If you have used R - please let us know how you got on with it and if you did find it useful.

 

[Louise]

I'm finding it hard enough just to get through the course without having to learn a new programming language as well. I didn't really understand some of the mathematical bits on first reading though. Is R really necessary?

 

[Porter Ricks]

R scripts

Not strictly necessary but it may help some of the theory to become a little more concrete for you by running R examples.

There are some scripts included with QRMlib that enable you to see how a number of the examples in the book can be generated in R.

On my unix machine they're in /usr/local/lib/R/library/Chap4 and so on.

They can be copied and pasted into R even if you don't know much about R.

Another program worth knowing about for the time series work is gretl, the Gnu Regression, Econometrics and Time-series Library (http://gretl.sourceforge.net/). Easier to use than R for GARCH examples.