Empirical Finance - CRAN Task View

actuar

Actuarial Functions and Heavy Tailed Distributions

Version 3.3-4

AssetCorr

Estimating Asset Correlations from Default Data

Version 1.0.4

backtest

Exploring Portfolio-Based Conjectures About Financial Instruments

Version 0.3-4

bayesGARCH

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Version 2.1.10

BCC1997

Calculation of Option Prices Based on a Universal Solution

Version 0.1.1

bearishTrader

Trading Strategies for Bearish Outlook

Version 1.0.2

BenfordTests

Statistical Tests for Evaluating Conformity to Benford's Law

Version 1.2.0

betategarch

Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Version 3.3

bizdays

Business Days Calculations and Utilities

Version 1.0.16

BLModel

Black-Litterman Posterior Distribution

Version 1.0.2

bondAnalyst

Methods for Fixed-Income Valuation, Risk and Return

Version 1.0.1

OptionPricing

Option Pricing with Efficient Simulation Algorithms

Version 0.1.2

bullishTrader

Bullish Trading Strategies Through Graphs

Version 1.0.1

BurStFin

Burns Statistics Financial

Version 1.3

BurStMisc

Burns Statistics Miscellaneous

Version 1.1

CADFtest

A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

Version 0.3-3

DtD

Distance to Default

Version 0.2.2

SharpeR

Statistical Significance of the Sharpe Ratio

Version 1.4.0

copulaData

Data Sets for Copula Modeling

Version 0.0-2

credule

Credit Default Swap Functions

Version 0.1.4

crseEventStudy

A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon E...

Version 1.2.2

cvar

Compute Expected Shortfall and Value at Risk for Continuous Distributi...

Version 0.5

derivmkts

Functions and R Code to Accompany Derivatives Markets

Version 0.2.5

Dowd

Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Meas...

Version 0.12

DriftBurstHypothesis

Calculates the Test-Statistic for the Drift Burst Hypothesis

Version 0.4.0.1

fCopulae

Rmetrics - Bivariate Dependence Structures with Copulae

Version 4022.85

dyn

Time Series Regression

Version 0.2-9.6

dynlm

Dynamic Linear Regression

Version 0.3-6

FatTailsR

Kiener Distributions and Fat Tails in Finance

Version 1.8-5

ESG

A Package for Asset Projection

Version 1.3

factorstochvol

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Mo...

Version 1.1.0

fAssets

Rmetrics - Analysing and Modelling Financial Assets

Version 4023.85

fBonds

Rmetrics - Pricing and Evaluating Bonds

Version 3042.78

fExtremes

Rmetrics - Modelling Extreme Events in Finance

Version 4032.84

fGarch

Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Version 4033.92

FinancialMath

Financial Mathematics for Actuaries

Version 0.1.1

fImport

Rmetrics - Importing Economic and Financial Data

Version 4041.88

fTrading

Rmetrics - Trading and Rebalancing Financial Instruments

Version 3042.79

fMultivar

Rmetrics - Modeling of Multivariate Financial Return Distributions

Version 4031.84

fPortfolio

Rmetrics - Portfolio Selection and Optimization

Version 4023.84

fracdiff

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

Version 1.5-3

FRAPO

Financial Risk Modelling and Portfolio Optimisation with R

Version 0.4-1

freecurrencyapi

Client for the 'freecurrencyapi.com' Currency Conversion API

Version 0.1.0

fRegression

Rmetrics - Regression Based Decision and Prediction

Version 4021.83

frenchdata

Download Data Sets from Kenneth's French Finance Data Library Site

Version 0.2.0

GARCHSK

Estimating a GARCHSK Model and GJRSK Model

Version 0.1.0

garchx

Flexible and Robust GARCH-X Modelling

Version 1.5

GCPM

Generalized Credit Portfolio Model

Version 1.2.2

gmm

Generalized Method of Moments and Generalized Empirical Likelihood

Version 1.8

gogarch

Generalized Orthogonal GARCH (GO-GARCH) Models

Version 0.7-5

HDShOP

High-Dimensional Shrinkage Optimal Portfolios

Version 0.1.5

highfrequency

Tools for Highfrequency Data Analysis

Version 1.0.1

IBrokers

R API to Interactive Brokers Trader Workstation

Version 0.10-2

InfoTrad

Calculates the Probability of Informed Trading (PIN)

Version 1.2

lgarch

Simulation and Estimation of Log-GARCH Models

Version 0.6-2

lmForc

Linear Model Forecasting

Version 1.0.0

lmtest

Testing Linear Regression Models

Version 0.9-40

LSMonteCarlo

American options pricing with Least Squares Monte Carlo method

Version 1.0

LSMRealOptions

Value American and Real Options Through LSM Simulation

Version 0.2.1

MarkowitzR

Statistical Significance of the Markowitz Portfolio

Version 1.0.3

monobin

Monotonic Binning for Credit Rating Models

Version 0.2.4

MSGARCH

Markov-Switching GARCH Models

Version 2.51

NFCP

N-Factor Commodity Pricing Through Term Structure Estimation

Version 1.2.1

fHMM

Fitting Hidden Markov Models to Financial Data

Version 1.4.1

NMOF

Numerical Methods and Optimization in Finance

Version 2.10-1

nvmix

Multivariate Normal Variance Mixtures

Version 0.1-1

obAnalytics

Limit Order Book Analytics

Version 0.1.1

OptHedging

Estimation of value and hedging strategy of call and put options

Version 1.0

pa

Performance Attribution for Equity Portfolios

Version 1.2-4

parma

Portfolio Allocation and Risk Management Applications

Version 1.7

pbo

Probability of Backtest Overfitting

Version 1.3.5

PortfolioOptim

Small/Large Sample Portfolio Optimization

Version 1.1.1

PortRisk

Portfolio Risk Analysis

Version 1.1.0

vars

VAR Modelling

Version 1.6-1

qrmdata

Data Sets for Quantitative Risk Management Practice

Version 2024-03-04-2

qrmtools

Tools for Quantitative Risk Management

Version 0.0-17

stochvol

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Version 3.2.5

quantmod

Quantitative Financial Modelling Framework

Version 0.4.26

timeSeries

Financial Time Series Objects (Rmetrics)

Version 4041.111

TTR

Technical Trading Rules

Version 0.24.4

sandwich

Robust Covariance Matrix Estimators

Version 3.1-1

RcppQuantuccia

R Bindings to the Calendaring Functionality of 'QuantLib'

Version 0.1.2

greeks

Sensitivities of Prices of Financial Options and Implied Volatilities

Version 1.4.3

timsac

Time Series Analysis and Control Package

Version 1.3.8-4

rugarch

Univariate GARCH Models

Version 1.5-3

riskSimul

Risk Quantification for Stock Portfolios under the T-Copula Model

Version 0.1.2

vrtest

Variance Ratio Tests and Other Tests for Martingale Difference Hypothe...

Version 1.2

tvm

Time Value of Money Functions

Version 0.5.2

VaRES

Computes Value at Risk and Expected Shortfall for over 100 Parametric ...

Version 1.0.2

zoo

S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered O...

Version 1.8-12

volatilityTrader

High Volatility Environment Option Trading Strategies Graphs

Version 1.0.1

stockAnalyst

Equity Valuation using Methods of Fundamental Analysis

Version 1.0.1

sde

Simulation and Inference for Stochastic Differential Equations

Version 2.0.18

strucchange

Testing, Monitoring, and Dating Structural Changes

Version 1.5-4

XBRL

Extraction of Business Financial Information from 'XBRL' Documents

Version 0.99.19.1

strand

A Framework for Investment Strategy Simulation

Version 0.2.0

rmgarch

Multivariate GARCH Models

Version 1.3-9

tis

Time Indexes and Time Indexed Series

Version 1.39

riskParityPortfolio

Design of Risk Parity Portfolios

Version 0.2.2

RiskPortfolios

Computation of Risk-Based Portfolios

Version 2.1.7

RM2006

RiskMetrics 2006 Methodology

Version 0.1.1

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

Version 1.1.1

wavelets

Functions for Computing Wavelet Filters, Wavelet Transforms and Multir...

Version 0.3-0.2

tseriesChaos

Analysis of Nonlinear Time Series

Version 0.1-13.1

TAQMNGR

Manage Tick-by-Tick Transaction Data

Version 2018.5-1

reinsureR

Reinsurance Treaties Application

Version 0.1.0

Risk

Computes 26 Financial Risk Measures for Any Continuous Distribution

Version 1.0

RND

Risk Neutral Density Extraction Package

Version 1.2

restimizeapi

Functions for Working with the 'www.estimize.com' Web Services

Version 1.0.0

Rblpapi

R Interface to 'Bloomberg'

Version 0.3.15

GetTDData

Get Data for Brazilian Bonds (Tesouro Direto)

Version 1.5.6

bmgarch

Bayesian Multivariate GARCH Models

Version 2.0.0

epo

Enhanced Portfolio Optimization (EPO)

Version 0.1.0

finreportr

Financial Data from U.S. Securities and Exchange Commission

Version 1.0.4

DOSPortfolio

Dynamic Optimal Shrinkage Portfolio

Version 0.1.0

etrm

Energy Trading and Risk Management

Version 1.0.1

rib

An Implementation of 'Interactive Brokers' API

Version 0.23.1

Sim.DiffProc

Simulation of Diffusion Processes

Version 4.9

simfinapi

Accessing 'SimFin' Data

Version 1.0.0

timeDate

Rmetrics - Chronological and Calendar Objects

Version 4041.110

RTL

Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Version 1.3.5

NetworkRiskMeasures

Risk Measures for (Financial) Networks

Version 0.1.4

nlme

Linear and Nonlinear Mixed Effects Models

Version 3.1-166

ufRisk

Risk Measure Calculation in Financial TS

Version 1.0.7

forecast

Forecasting Functions for Time Series and Linear Models

Version 8.23.0

bidask

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Clos...

Version 2.0.6

xts

eXtensible Time Series

Version 0.14.1

waveslim

Basic Wavelet Routines for One-, Two-, and Three-Dimensional Signal Pr...

Version 1.8.5

cryptoQuotes

Open Access to Cryptocurrency Market Data, Sentiment Indicators and In...

Version 1.3.2

urca

Unit Root and Cointegration Tests for Time Series Data

Version 1.3-4

tseries

Time Series Analysis and Computational Finance

Version 0.10-58

car

Companion to Applied Regression

Version 3.1-3

ichimoku

Visualization and Tools for Ichimoku Kinko Hyo Strategies

Version 1.5.5

lifecontingencies

Financial and Actuarial Mathematics for Life Contingencies

Version 1.3.12

BayesianFactorZoo

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Mod...

Version 0.0.0.3

Rcmdr

R Commander

Version 2.9-5

gets

General-to-Specific (GETS) Modelling and Indicator Saturation Methods

Version 0.38

ChainLadder

Statistical Methods and Models for Claims Reserving in General Insuran...

Version 0.2.19

data.table

Extension of data.frame

Version 1.16.4

RQuantLib

R Interface to the 'QuantLib' Library

Version 0.4.24

longmemo

Statistics for Long-Memory Processes (Book Jan Beran), and Related Fun...

Version 1.1-3

markovchain

Easy Handling Discrete Time Markov Chains

Version 0.10.0

copula

Multivariate Dependence with Copulas

Version 1.1-4

fBasics

Rmetrics - Markets and Basic Statistics

Version 4041.97

wavethresh

Wavelets Statistics and Transforms

Version 4.7.3

tidyquant

Tidy Quantitative Financial Analysis

Version 1.0.9

tsDyn

Nonlinear Time Series Models with Regime Switching

Version 11.0.5.2

ghyp

Generalized Hyperbolic Distribution and Its Special Cases

Version 1.6.5

mvtnorm

Multivariate Normal and t Distributions

Version 1.3-2

SVDNF

Discrete Nonlinear Filtering for Stochastic Volatility Models

Version 0.1.11

fNonlinear

Rmetrics - Nonlinear and Chaotic Time Series Modelling

Version 4041.82

PeerPerformance

Luck-Corrected Peer Performance Analysis in R

Version 2.3.1

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

Version 2.0.8