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:
- R package for high frequency time series data management☆63Updated 4 months ago
- Functions for the construction of risk-based portfolios☆53Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Design of Risk Parity Portfolios☆116Updated 2 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆67Updated 3 years ago
- R package AssetAllocation☆33Updated last year
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 3 months ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆23Updated last year
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 11 months ago
- MSGARCH R Package☆81Updated 2 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- ☆79Updated 10 months ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated 2 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 10 months ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated 2 years ago
- ☆45Updated 11 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years 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 last month
- Econometric Analysis of Explosive Time Series☆31Updated last month
- NYU Tandon lecture slides☆32Updated 3 months ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- ☆54Updated 2 months ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆62Updated last week
- Nonlinear Nonparametric Statistics☆92Updated this week
- ☆95Updated 5 months ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Updated 3 years ago
- R presentation files (knitr, shiny, etc.)☆12Updated 2 months ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆23Updated 4 months ago
- quant_rv is a quantitative ETF trading strategy based on realized volatility, written in R☆24Updated last year