matthewclegg / egcmLinks
Engle-Granger cointegration models in R
☆17Updated 2 years ago
Alternatives and similar repositories for egcm
Users that are interested in egcm are comparing it to the libraries listed below
Sorting:
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- R package for fitting the partially cointegrated model☆15Updated 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
- A Shiny app to work with future contracts data☆23Updated 8 years ago
- R Finance packages not listed in the Empirical Finance Task View☆12Updated last week
- R package for high frequency time series data management☆62Updated last month
- ☆45Updated 11 years ago
- CRAN Task View: Empirical Finance☆57Updated 2 weeks ago
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- An R implementation of Interactive Brokers API☆43Updated 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…☆37Updated last week
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- ☆45Updated 9 years ago
- R package for inference on the Sharpe ratio.☆20Updated 6 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 8 years ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆27Updated 8 years ago
- ☆72Updated 6 months ago
- Set of functions to perform (financial) peer performance calculations☆12Updated 7 months ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 6 months ago
- R package for option pricing☆36Updated 3 years ago
- Digital Signal Trading (John Ehlers indicators)☆93Updated 6 years ago
- GAS models☆34Updated 4 years ago
- ☆20Updated 7 years ago
- R presentation files (knitr, shiny, etc.)☆12Updated last month
- R package AssetAllocation☆34Updated last year
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- A shiny application to explore the basics of option evaluation☆15Updated 7 years ago
- R package to download Prof. Kenneth French data sets☆12Updated last year
- MSGARCH R Package☆80Updated 2 years ago
- R utility functions for the Interactive Brokers TWS API☆8Updated 6 months ago