cran / PerformanceAnalyticsLinks
This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis. Homepage: https://github.com/braverock/PerformanceAnalytics
☆16Updated last year
Alternatives and similar repositories for PerformanceAnalytics
Users that are interested in PerformanceAnalytics are comparing it to the libraries listed below
Sorting:
- R package AssetAllocation☆33Updated 2 years ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Estimation and forecasting of VAR model with the Lasso☆32Updated last month
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 3 years ago
- ☆45Updated 11 years ago
- This is the data scraping & modeling code used for models shown in https://econforecasting.com.☆13Updated 2 years ago
- CRAN Task View: Empirical Finance☆58Updated 2 weeks ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated last year
- An R package for using mixed-frequency GARCH models☆74Updated 2 years ago
- Fixed income tools for R☆63Updated 8 months ago
- Easily source publicly available data on derivatives☆37Updated 4 years ago
- R package for high frequency time series data management☆64Updated 7 months ago
- ☆97Updated 8 months ago
- ☆82Updated last year
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Updated 4 years ago
- Econometric Analysis of Explosive Time Series☆31Updated 3 months ago
- Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models☆17Updated 2 years ago
- A shiny application to explore the basics of option evaluation☆15Updated 8 years ago
- A Shiny app to work with future contracts data☆23Updated 8 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23Updated 5 years ago
- R package for commodities and finance analytics. Sister python package details below.☆31Updated 2 months ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆38Updated 2 weeks ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆64Updated 3 weeks ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Updated 7 years ago
- API Client for US Treasury Fiscal Data☆9Updated last year
- ☆30Updated 6 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 6 months ago
- R code for the IMF edX course on Macroeconomic Forecasting☆17Updated 9 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Updated 3 years ago