Actuarial Functions and Heavy Tailed Distributions
Estimating Asset Correlations from Default Data
Exploring Portfolio-Based Conjectures About Financial Instruments
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Mod...
Calculation of Option Prices Based on a Universal Solution
Trading Strategies for Bearish Outlook
Statistical Tests for Evaluating Conformity to Benford's Law
Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models
Business Days Calculations and Utilities
Black-Litterman Posterior Distribution
Methods for Fixed-Income Valuation, Risk and Return
Option Pricing with Efficient Simulation Algorithms
Bullish Trading Strategies Through Graphs
Burns Statistics Financial
Burns Statistics Miscellaneous
A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
Companion to Applied Regression
Distance to Default
Data Sets for Copula Modeling
Credit Default Swap Functions
A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon E...
Compute Expected Shortfall and Value at Risk for Continuous Distributi...
Functions and R Code to Accompany Derivatives Markets
Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Meas...
Calculates the Test-Statistic for the Drift Burst Hypothesis
Rmetrics - Bivariate Dependence Structures with Copulae
Time Series Regression
Dynamic Linear Regression
Kiener Distributions and Fat Tails in Finance
A Package for Asset Projection
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Mo...
Rmetrics - Analysing and Modelling Financial Assets
Rmetrics - Pricing and Evaluating Bonds
Rmetrics - Modelling Extreme Events in Finance
Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Rmetrics - Importing Economic and Financial Data
Financial Mathematics for Actuaries
Rmetrics - Trading and Rebalancing Financial Instruments
Rmetrics - Modeling of Multivariate Financial Return Distributions
Rmetrics - Portfolio Selection and Optimization
Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Financial Risk Modelling and Portfolio Optimisation with R
Client for the 'freecurrencyapi.com' Currency Conversion API
Rmetrics - Regression Based Decision and Prediction
Download Data Sets from Kenneth's French Finance Data Library Site
Estimating a GARCHSK Model and GJRSK Model
Flexible and Robust GARCH-X Modelling
Generalized Credit Portfolio Model
Generalized Method of Moments and Generalized Empirical Likelihood
Generalized Orthogonal GARCH (GO-GARCH) Models
GUI for DErivatives in R
High-Dimensional Shrinkage Optimal Portfolios
Tools for Highfrequency Data Analysis
R API to Interactive Brokers Trader Workstation
Calculates the Probability of Informed Trading (PIN)
Simulation and Estimation of Log-GARCH Models
Financial and Actuarial Mathematics for Life Contingencies
Linear Model Forecasting
Testing Linear Regression Models
American options pricing with Least Squares Monte Carlo method
Value American and Real Options Through LSM Simulation
Easy Handling Discrete Time Markov Chains
Statistical Significance of the Markowitz Portfolio
Monotonic Binning for Credit Rating Models
Markov-Switching GARCH Models
N-Factor Commodity Pricing Through Term Structure Estimation
Fitting Hidden Markov Models to Financial Data
Numerical Methods and Optimization in Finance
Multivariate Normal Variance Mixtures
Limit Order Book Analytics
Estimation of value and hedging strategy of call and put options
Performance Attribution for Equity Portfolios
Portfolio Allocation and Risk Management Applications
Probability of Backtest Overfitting
Luck-Corrected Peer Performance Analysis in R
Econometric Tools for Performance and Risk Analysis
Small/Large Sample Portfolio Optimization
Portfolio Risk Analysis
VAR Modelling
Data Sets for Quantitative Risk Management Practice
Tools for Quantitative Risk Management
Efficient Bayesian Inference for Stochastic Volatility (SV) Models
Quantitative Financial Modelling Framework
R Commander
Nonlinear Time Series Models with Regime Switching
Financial Time Series Objects (Rmetrics)
Technical Trading Rules
Rmetrics - Chronological and Calendar Objects
Robust Covariance Matrix Estimators
R Bindings to the Calendaring Functionality of 'QuantLib'
Sensitivities of Prices of Financial Options and Implied Volatilities
Time Series Analysis and Control Package
Univariate GARCH Models
Risk Quantification for Stock Portfolios under the T-Copula Model
Variance Ratio Tests and Other Tests for Martingale Difference Hypothe...
Time Value of Money Functions
Computes Value at Risk and Expected Shortfall for over 100 Parametric ...
S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered O...
High Volatility Environment Option Trading Strategies Graphs
Equity Valuation using Methods of Fundamental Analysis
Simulation and Inference for Stochastic Differential Equations
Testing, Monitoring, and Dating Structural Changes
Extraction of Business Financial Information from 'XBRL' Documents
A Framework for Investment Strategy Simulation
Multivariate GARCH Models
Time Indexes and Time Indexed Series
Design of Risk Parity Portfolios
Computation of Risk-Based Portfolios
RiskMetrics 2006 Methodology
Pricing Equity Derivatives with Extensions of Black-Scholes
Functions for Computing Wavelet Filters, Wavelet Transforms and Multir...
Analysis of Nonlinear Time Series
Manage Tick-by-Tick Transaction Data
Reinsurance Treaties Application
Computes 26 Financial Risk Measures for Any Continuous Distribution
Risk Neutral Density Extraction Package
Functions for Working with the 'www.estimize.com' Web Services
R Interface to 'Bloomberg'
Get Data for Brazilian Bonds (Tesouro Direto)
Bayesian Multivariate GARCH Models
Enhanced Portfolio Optimization (EPO)
Financial Data from U.S. Securities and Exchange Commission
Dynamic Optimal Shrinkage Portfolio
Energy Trading and Risk Management
An Implementation of 'Interactive Brokers' API
Simulation of Diffusion Processes
Accessing 'SimFin' Data
Risk Tool Library - Trading, Risk, 'Analytics' for Commodities
Statistical Significance of the Sharpe Ratio
Risk Measures for (Financial) Networks
Linear and Nonlinear Mixed Effects Models
Risk Measure Calculation in Financial TS
Forecasting Functions for Time Series and Linear Models
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Clos...
eXtensible Time Series
Basic Wavelet Routines for One-, Two-, and Three-Dimensional Signal Pr...
A Streamlined Access to Cryptocurrency OHLC-V Market Data and Sentimen...
Unit Root and Cointegration Tests for Time Series Data
Multivariate Normal and t Distributions
Time Series Analysis and Computational Finance
Visualization and Tools for Ichimoku Kinko Hyo Strategies
General-to-Specific (GETS) Modelling and Indicator Saturation Methods
Statistical Methods and Models for Claims Reserving in General Insuran...
R Interface to the 'QuantLib' Library
Statistics for Long-Memory Processes (Book Jan Beran), and Related Fun...
Multivariate Dependence with Copulas
Rmetrics - Markets and Basic Statistics
Wavelets Statistics and Transforms
Tidy Quantitative Financial Analysis
Generalized Hyperbolic Distribution and Its Special Cases
Extension of data.frame
Discrete Nonlinear Filtering for Stochastic Volatility Models
Rmetrics - Nonlinear and Chaotic Time Series Modelling