urca - Unit Root and Cointegration Tests for Time Series Data

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

Last updated 8 months ago

fortran

8.81 score 6 stars 265 dependents 1.4k scripts 95k 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.

Last updated 11 months ago

8.60 score 7 stars 43 dependents 2.9k scripts 15k 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

5.81 score 2 stars 6 dependents 211 scripts 1.7k 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 318 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

cpp

4.49 score 5 dependents 181 scripts 1.1k 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

2.48 score 4 dependents 25 scripts 791 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 1 years ago

openblascpp

2.37 score 3 dependents 26 scripts 1.0k 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 307 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 3 months ago

1.15 score 14 scripts 155 downloads