vars - VAR Modelling

Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models.

Last updated 8 months ago

9.16 score 7 stars 43 packages 3.0k scripts 27k downloads

urca - Unit Root and Cointegration Tests for Time Series Data

Unit root and cointegration tests encountered in applied econometric analysis are implemented.

Last updated 6 months ago

9.02 score 5 stars 260 packages 1.3k scripts 198k downloads

evir - Extreme Values in R

Functions for extreme value theory, which may be divided into the following groups; exploratory data analysis, block maxima, peaks over thresholds (univariate and bivariate), point processes, gev/gpd distributions.

Last updated 8 years ago

5.75 score 2 stars 6 packages 178 scripts 1.8k downloads

FRAPO - Financial Risk Modelling and Portfolio Optimisation with R

Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.

Last updated 8 years ago

4.71 score 11 stars 94 scripts 309 downloads

QRM - Provides R-Language Code to Examine Quantitative Risk Management Concepts

Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

Last updated 5 years ago

4.63 score 5 packages 185 scripts 1.6k downloads

rneos - XML-RPC Interface to NEOS

Within this package the XML-RPC API to NEOS <https://neos-server.org/neos/> is implemented. This enables the user to pass optimization problems to NEOS and retrieve results within R.

Last updated 5 years ago

2.67 score 4 packages 25 scripts 1.6k downloads

cccp - Cone Constrained Convex Problems

Routines for solving convex optimization problems with cone constraints by means of interior-point methods. The implemented algorithms are partially ported from CVXOPT, a Python module for convex optimization (see <https://cvxopt.org> for more information).

Last updated 12 months ago

2.42 score 3 packages 25 scripts 1.2k downloads

gogarch - Generalized Orthogonal GARCH (GO-GARCH) Models

Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.

Last updated 3 years ago

1.26 score 18 scripts 240 downloads

rbtc - Bitcoin API

Implementation of the RPC-JSON API for Bitcoin and utility functions for address creation and content analysis of the blockchain.

Last updated 1 months ago

1.15 score 14 scripts 279 downloads