keblu / MSGARCH
MSGARCH R Package
☆81Updated 2 years ago
Alternatives and similar repositories for MSGARCH:
Users that are interested in MSGARCH are comparing it to the libraries listed below
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆151Updated last year
- ☆68Updated last month
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 7 years ago
- ☆83Updated 2 weeks ago
- R package for high frequency time series data management☆61Updated 3 months ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- Fixed income tools for R☆55Updated last year
- ☆45Updated 8 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆116Updated last month
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆36Updated 2 weeks ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- GAS models☆34Updated 3 years ago
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 4 months ago
- CRAN Task View: Empirical Finance☆56Updated 2 months ago
- A shiny application to explore the basics of option evaluation☆15Updated 7 years ago
- Replication of key GARCH model papers☆33Updated 8 years ago
- An R package for using mixed-frequency GARCH models☆69Updated 2 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆27Updated 5 years ago
- Practical applications towards risk-centric portfolio management☆43Updated 8 years ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆62Updated last month
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆36Updated 3 months ago
- Estimation and forecasting of VAR model with the Lasso☆27Updated last year
- R package AssetAllocation☆35Updated last year
- This repository hosts the source code for the website tidy-finance.org☆89Updated this week
- quant, financial data, economic data☆59Updated 8 months ago
- ☆46Updated 10 years ago
- Univariate GARCH models in R☆26Updated last month