dppalomar / imputeFinLinks
Imputation of Financial Time Series with Missing Values and/or Outliers
☆25Updated 4 years ago
Alternatives and similar repositories for imputeFin
Users that are interested in imputeFin are comparing it to the libraries listed below
Sorting:
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- R package for high frequency time series data management☆66Updated 2 weeks ago
- Covariance Matrix Estimation via Factor Models☆38Updated 6 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated 2 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆71Updated 3 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated 2 years ago
- R package AssetAllocation☆33Updated 2 years ago
- Design of Risk Parity Portfolios☆119Updated 3 years ago
- MSGARCH R Package☆82Updated 3 years ago
- ☆83Updated last year
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Updated 4 years ago
- R package for Feature-based Forecast Model Averaging☆34Updated 5 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Updated 3 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated last month
- R package for inference on the Sharpe ratio.☆20Updated last year
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 12 years ago
- Econometric Analysis of Explosive Time Series☆31Updated 4 months ago
- ☆55Updated 5 months ago
- ☆18Updated 4 years ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆64Updated this week
- Nonlinear Nonparametric Statistics☆101Updated last week
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Functions for executing trading strategies via the API of Interactive Brokers☆15Updated 4 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated last year
- R presentation files (knitr, shiny, etc.)☆12Updated 3 weeks ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆27Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 7 months ago
- ☆22Updated 3 years ago
- R package for financial simulation☆59Updated last month