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urca - Unit Root and Cointegration Tests for Time Series Data

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

Last updated

10.53 score 6 stars 1.4k dependents 3.8k scripts 356k downloads

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.

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9.26 score 7 stars 47 dependents 3.9k scripts 48k 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).

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openblascpp

6.24 score 18 stars 7 dependents 34 scripts 2.7k 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.

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6.05 score 3 stars 6 dependents 332 scripts 1.2k 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.

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5.70 score 13 stars 1 dependents 258 scripts 534 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.

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cpp

4.41 score 5 dependents 173 scripts 959 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.

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2.44 score 3 dependents 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

1.23 score 1 stars 17 scripts 393 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

1.15 score 14 scripts 242 downloads