bpfaff / FRAPO
Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.
☆11Updated 7 years ago
Related projects: ⓘ
- R package to download Prof. Kenneth French data sets☆12Updated 5 months ago
- getSymbols() reboot☆16Updated 11 months ago
- R package for fast rolling and expanding linear regression models☆21Updated 2 years ago
- Leontief's Input-Output Model in R☆12Updated 3 months ago
- The Fast Kalman Filter (FKF) package for R☆11Updated 2 weeks ago
- The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets.…☆9Updated 9 years ago
- An R package for multivariate signal extraction☆14Updated 3 months ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 5 years ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated last year
- an R interface to Refinitv Eikon and Refinitiv DataStream☆7Updated this week
- Functions and a R5 class that allows data to be downloaded and uploaded to the LSEG Datastream database via the DSWS server☆20Updated 2 weeks ago
- An R-package for obtaining real-time data from ALFRED database☆20Updated last year
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆17Updated 6 months ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆7Updated 5 months ago
- nardl:An R package to estimate the nonlinear cointegrating autoregressive distributed lag model☆13Updated 3 years ago
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆10Updated 4 months ago
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆18Updated last year
- Repository for R package simfinR☆8Updated 3 years ago
- R scripts related to finance. These scripts will be clones or adaptations of the works of the Systematic Investor and QuantStrat TradeR b…☆8Updated 9 years ago
- Machine Learning functions for Finance☆10Updated 6 years ago
- CRAN Task View: Empirical Finance☆56Updated 6 months ago
- The Tidymodels Extension for GARCH models☆33Updated 2 years ago
- tsDyn☆34Updated this week
- ☆15Updated 3 months ago
- Set of R functions for high-dimensional econometrics☆30Updated 4 years ago
- Univariate GARCH models in R☆23Updated last month
- GAS models☆35Updated 3 years ago
- R package for inference on the Sharpe ratio.☆17Updated 11 months ago
- statespacer: State Space Modelling in R☆15Updated last year
- An R interface to the ITCH Protocol☆18Updated 3 weeks ago