datarob / termstrc
The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We pro…
☆11Updated 9 years ago
Alternatives and similar repositories for termstrc:
Users that are interested in termstrc are comparing it to the libraries listed below
- R package to download Prof. Kenneth French data sets☆12Updated last year
- The Fast Kalman Filter (FKF) package for R☆12Updated 6 months ago
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- getSymbols() reboot☆15Updated 5 months ago
- an R interface to Refinitv Eikon and Refinitiv DataStream☆10Updated last week
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Time-series functionality based on nanotime and data.table☆14Updated 2 months ago
- ☆9Updated last year
- R Installer Package for Pre-Built X-13ARIMA-SEATS Binaries☆10Updated 8 months ago
- An R-package for obtaining real-time data from ALFRED database☆19Updated 2 years ago
- R package for fast rolling and expanding linear regression models☆22Updated 2 years ago
- Functions and a R5 class that allows data to be downloaded and uploaded to the LSEG Datastream database via the DSWS server☆20Updated 6 months ago
- Riex☆9Updated 3 years ago
- Shiny App to Search for Economics Articles with Data Supplements☆9Updated 2 years ago
- R package for retrieving public data☆16Updated 3 months ago
- A terribly-simple data base for time series☆11Updated last week
- Repository for R package simfinR☆8Updated 3 years ago
- BLS API V2 interface☆14Updated last year
- Out-Of-Sample Time Series Forecasting: OOS introduces a comprehensive framework for time series forecasting with traditional econometric …☆9Updated 4 years ago
- Rjournal website sandbox, and deploy site. You can preview the changes at the address below.☆17Updated this week
- This is the replication code for the paper: Heimberger, Philipp (2022): "Does public debt reduce economic growth?", Journal of Economic S…☆15Updated 2 years ago
- Bank of England Chart Themes and Styles for 'ggplot2'☆12Updated 10 months ago
- EventDetectR is an R-package for detecting/classifiying events in time-series data. It aims to combine multiple well-known R-packages li…☆14Updated 4 years ago
- Real-time perceptions of financial market stress measured using kernel PCA☆17Updated 7 years ago
- An R interface to the ITCH Protocol☆18Updated 7 months ago
- Plotting Lorenz curves with the blessing of ggplot2☆31Updated 4 years ago
- Graphical User Interface for Seasonal Adjustment☆22Updated 5 months ago
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆17Updated last year
- Programming with R for Reproducible Research☆21Updated this week
- Time series with torch☆13Updated 2 years ago