matthewclegg / partialCILinks
R package for fitting the partially cointegrated model
☆15Updated 2 years ago
Alternatives and similar repositories for partialCI
Users that are interested in partialCI are comparing it to the libraries listed below
Sorting:
- R package for high frequency time series data management☆64Updated 5 months ago
- R package for inference on the Sharpe ratio.☆20Updated 10 months ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
- Probability of Backtest Overfitting☆48Updated 3 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
- ☆17Updated 3 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- ☆46Updated 9 years ago
- MSGARCH R Package☆81Updated 2 years ago
- Repository for simulation and estimation of CIR one factor model parameters☆12Updated 7 years ago
- Engle-Granger cointegration models in R☆17Updated 2 years ago
- ☆45Updated 11 years ago
- ☆17Updated 4 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated 11 months ago
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- Digital Signal Trading (John Ehlers indicators)☆93Updated 6 years ago
- CRAN Task View: Empirical Finance☆58Updated last week
- Book on backtesting strategies in R using blotter, quantstrat, FinancialInstruments, TTR packages☆110Updated 6 years ago
- An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies☆28Updated 5 years ago
- ☆75Updated 9 years ago
- Design of Risk Parity Portfolios☆116Updated 3 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- NYU Tandon lecture slides☆32Updated 4 months ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆27Updated 9 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 7 years ago
- Econometric Analysis of Explosive Time Series☆31Updated 2 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
- ☆12Updated 9 months ago
- Performance Attribution for Equity Portfolios☆24Updated 2 years ago