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:
- CRAN Task View: Empirical Finance☆58Updated 2 weeks ago
- Easily source publicly available data on derivatives☆38Updated 4 years ago
- ☆45Updated 11 years ago
- ☆97Updated 8 months ago
- Real-Time US Treasury Yields and Prices; Bond analyses and options functions including all the 'Greeks' (R Package)☆11Updated 9 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
- 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
- ☆30Updated 6 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
- A Shiny app to work with future contracts data☆23Updated 8 years ago
- An R implementation of Interactive Brokers API☆45Updated 3 weeks ago
- ☆19Updated 8 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated 2 years ago
- ☆82Updated last year
- GARCH models estimated using autodiff.☆17Updated 8 months ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- R package for high frequency time series data management☆66Updated last week
- Estimation and forecasting of VAR model with the Lasso☆32Updated 2 months ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆64Updated last month
- R package AssetAllocation☆33Updated 2 years ago
- Univariate GARCH models in R☆30Updated 7 months ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆118Updated last year
- Repository for simulation and estimation of CIR one factor model parameters☆12Updated 7 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Updated 3 years ago
- R package for inference on the Sharpe ratio.☆20Updated last year
- This is the data scraping & modeling code used for models shown in https://econforecasting.com.☆13Updated 2 years ago
- R API to Interactive Brokers Trader Workstation☆74Updated last year
- Analysis of the US stock market using Kohonen's SOM algorithm☆22Updated 6 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 7 years ago