https://github.com/beliavsky/r-finance-task-view-supplement
R Finance packages not listed in the Empirical Finance Task View
https://github.com/beliavsky/r-finance-task-view-supplement
cran cran-r cryptocurrency expected-shortfall finance financial-data garch list option-pricing quantitative-finance r r-package r-packages stochastic-volatility time-series-analysis value-at-risk
Last synced: 11 months ago
JSON representation
R Finance packages not listed in the Empirical Finance Task View
- Host: GitHub
- URL: https://github.com/beliavsky/r-finance-task-view-supplement
- Owner: Beliavsky
- Created: 2021-05-31T19:59:10.000Z (about 5 years ago)
- Default Branch: main
- Last Pushed: 2024-11-23T21:17:00.000Z (over 1 year ago)
- Last Synced: 2024-11-23T22:20:29.233Z (over 1 year ago)
- Topics: cran, cran-r, cryptocurrency, expected-shortfall, finance, financial-data, garch, list, option-pricing, quantitative-finance, r, r-package, r-packages, stochastic-volatility, time-series-analysis, value-at-risk
- Homepage:
- Size: 104 KB
- Stars: 11
- Watchers: 4
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
R Finance packages not listed in the [Empirical Finance Task View](https://cran.r-project.org/web/views/Finance.html)
[ACDm](https://cran.r-project.org/web/packages/ACDm/index.html): Tools for Autoregressive Conditional Duration Models
[apt](https://cran.r-project.org/web/packages/apt/index.html): Asymmetric Price Transmission
[armaOptions](https://cran.r-project.org/web/packages/armaOptions/index.html): ARMA Models to Value Stock Options
[AssetAllocation](https://cran.r-project.org/web/packages/AssetAllocation/index.html): Backtesting Simple Asset Allocation Strategies
[ASV](https://cran.r-project.org/web/packages/ASV/index.html): Stochastic Volatility Models with or without Leverage
[backtestGraphics](https://cran.r-project.org/web/packages/backtestGraphics/index.html): Interactive Graphics for Portfolio Data
[bbk](https://cran.r-project.org/web/packages/bbk/index.html): Client for the Bundesbank API
[BEKKs](https://cran.r-project.org/web/packages/BEKKs/index.html): Multivariate Conditional Volatility Modelling and Forecasting
[bidask](https://cran.r-project.org/web/packages/bidask/index.html): Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
[BIS](https://cran.r-project.org/web/packages/BIS/index.html): Programmatic Access to Bank for International Settlements Data
[BISdata](https://cran.r-project.org/web/packages/BISdata/index.html): Download Data from the Bank for International Settlements (BIS)
[bolsec](https://cran.r-project.org/web/packages/bolsec/index.html): Bolivian Securities
[BondValuation](https://cran.r-project.org/web/packages/BondValuation/index.html): Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions
[charlesschwabapi](https://cran.r-project.org/web/packages/charlesschwabapi/index.html): Wrapper Functions Around 'Charles Schwab Individual Trader API'
[CLA](https://cran.r-project.org/web/packages/CLA/index.html): Critical Line Algorithm in Pure R
[corpmetrics](https://cran.r-project.org/web/packages/corpmetrics/index.html): Tools for Valuation, Financial Metrics and Modeling in Corporate Finance
[creditr](https://cran.r-project.org/web/packages/creditr/index.html): Credit Default Swaps
[CreditRisk](https://cran.r-project.org/web/packages/CreditRisk/index.html): Evaluation of Credit Risk with Structural and Reduced Form Models
[crypto2](https://cran.r-project.org/web/packages/crypto2/index.html): Download Crypto Currency Data from 'CoinMarketCap' without 'API'
[czechrates](https://cran.r-project.org/web/packages/czechrates/index.html): Czech Interest & Foreign Exchange Rates
[dataonderivatives](https://cran.r-project.org/web/packages/dataonderivatives/index.html): Easily Source Publicly Available Data on Derivatives
[dispositionEffect](https://cran.r-project.org/web/packages/dispositionEffect/index.html): Analysis of Disposition Effect on Financial Portfolios
[ecd](https://cran.r-project.org/web/packages/ecd/index.html): Elliptic Lambda Distribution and Option Pricing Model
[edgar](https://cran.r-project.org/web/packages/edgar/index.html): Tool for the U.S. SEC EDGAR Retrieval and Parsing of Corporate Filings
[edgarWebR](https://cran.r-project.org/web/packages/edgarWebR/index.html): SEC Filings Access
[eodhdR2](https://cran.r-project.org/web/packages/eodhdR2/index.html): Official R API for Fetching Data from 'EODHD'
[esback](https://cran.r-project.org/web/packages/esback/index.html): Expected Shortfall Backtesting
[etrm](https://cran.r-project.org/web/packages/etrm/index.html): Energy Trading and Risk Management
[Euronext](https://cran.r-project.org/web/packages/Euronext/index.html): Retrieve Historical Data of Companies Listed on the 'Euronext' Stock Exchange
[farr](https://cran.r-project.org/web/packages/farr/index.html): Data and Code for Financial Accounting Research
[fcl](https://cran.r-project.org/web/packages/fcl/index.html): A financial calculator that provides very fast implementations of common financial indicators using 'Rust' code
[FER](https://cran.r-project.org/web/packages/FER/index.html): Financial Engineering in R
[FFdownload](https://cran.r-project.org/web/packages/FFdownload/index.html): Download Data from Kenneth French's Website
[ffp](https://cran.r-project.org/web/packages/ffp/index.html): Fully Flexible Probabilities for Stress Testing and Portfolio Construction
[fHMM](https://cran.r-project.org/web/packages/fHMM/index.html): Fitting Hidden Markov Models to Financial Data
[FinAna](https://cran.r-project.org/web/packages/FinAna/index.html): Financial Analysis and Regression Diagnostic Analysis
[FinancialInstrument](https://cran.r-project.org/web/packages/FinancialInstrument/index.html): Financial Instrument Model Infrastructure and Meta-Data
[FinCal](https://cran.r-project.org/web/packages/FinCal/index.html): Time Value of Money, Time Series Analysis and Computational Finance
[FinCovRegularization](https://cran.r-project.org/web/packages/FinCovRegularization/index.html): Covariance Matrix Estimation and Regularization for Finance
[fingraph](https://cran.r-project.org/web/packages/fingraph/index.html): Learning Graphs for Financial Markets
[FinNet](https://cran.r-project.org/web/packages/FinNet/index.html): Quickly Build and Manipulate Financial Networks
[finnts](https://cran.r-project.org/web/packages/finnts/index.html): Microsoft Finance Time Series Forecasting Framework
[FinTS](https://cran.r-project.org/web/packages/FinTS/index.html): Companion to Tsay (2005) Analysis of Financial Time Series
[fitHeavyTail](https://cran.r-project.org/web/packages/fitHeavyTail/index.html): Mean and Covariance Matrix Estimation under Heavy Tails
[fixedincome](https://cran.r-project.org/web/packages/fixedincome/index.html): Fixed Income Models, Calculations, Data Structures and Instruments
[fmbasics](https://cran.r-project.org/web/packages/fmbasics/index.html): Financial Market Building Blocks
[fmpapi](https://cran.r-project.org/web/packages/fmpapi/index.html): Flexible Client for the 'Financial Modeling Prep' API
[frenchdata](https://cran.r-project.org/web/packages/frenchdata/index.html): Download Data Sets from Kenneth's French Finance Data Library Site
[GARCHIto](https://cran.r-project.org/web/packages/GARCHIto/index.html): Provides functions to estimate model parameters and forecast future volatilities using the [Unified GARCH-Ito](https://www.sciencedirect.com/science/article/abs/pii/S0304407616300914) and [Realized GARCH-Ito](https://www.sciencedirect.com/science/article/abs/pii/S0304407620301974) models
[GARCHSK](https://cran.r-project.org/web/packages/GARCHSK/index.html): Estimating a GARCHSK Model and GJRSK Model (time-varying skewness and kurtosis)
[GARCH.X](https://cran.r-project.org/web/packages/GARCH.X/index.html): Estimation and Exogenous Covariate Selection for GARCH-X Models
[GBcurves](https://cran.r-project.org/web/packages/GBcurves/index.html): Yield Curves of Brazil, China, and Russia
[GDPuc](https://cran.r-project.org/web/packages/GDPuc/index.html): Easily Convert GDP Data
[generalCorr](https://cran.r-project.org/web/packages/generalCorr/index.html): Generalized Correlations, Causal Paths and Portfolio Selection
[GetDFPData](https://cran.r-project.org/web/packages/GetDFPData/index.html): Reading Annual Financial Reports from Bovespa's DFP, FRE and FCA System
[GetDFPData2](https://cran.r-project.org/web/packages/GetDFPData2/index.html): Reading Annual and Quarterly Financial Reports from B3
[GOLDprice](https://cran.r-project.org/web/packages/GOLDprice/index.html): Gold Price Data in Various Currencies
[greeks](https://cran.r-project.org/web/packages/greeks/index.html): Sensitivities of Prices of Financial Options
[HDShOP](https://cran.r-project.org/web/packages/HDShOP/index.html): High-Dimensional Shrinkage Optimal Portfolios
[HierPortfolios](https://cran.r-project.org/web/packages/HierPortfolios/index.html): Hierarchical Clustering-Based Portfolio Allocation Strategies
[highOrderPortfolios](https://cran.r-project.org/web/packages/highOrderPortfolios/index.html): Design of High-Order Portfolios Including Skewness and Kurtosis
[iClick](https://cran.r-project.org/web/packages/iClick/index.html): Button-Based GUI for Financial and Economic Data Analysis
[imf.data](https://cran.r-project.org/web/packages/imf.data/index.html): Interface to IMF (International Monetary Fund) Data JSON API
[imputeFin](https://cran.r-project.org/web/packages/imputeFin/index.html): Imputation of Financial Time Series with Missing Values and/or Outliers
[IndGenErrors](https://cran.r-project.org/web/packages/IndGenErrors/index.html): Tests of Independence Between Innovations of Generalized Error Models. Computation of test statistics of independence between (continuous) innovations of time series. They can be used with stochastic volatility models and Hidden Markov Models (HMM).
[INFOSET](https://cran.r-project.org/web/packages/INFOSET/index.html): Computing a New Informative Distribution Set of Asset Returns
[insiderTrades](https://cran.r-project.org/web/packages/insiderTrades/index.html): Tools to Download Insider Transactions and Holdings
[intradayModel](https://cran.r-project.org/web/packages/intradayModel/index.html): Modeling and Forecasting Financial Intraday Signals
[invgamstochvol](https://cran.r-project.org/web/packages/invgamstochvol/index.html): Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model
[intrinsicFRP](https://cran.r-project.org/web/packages/intrinsicFRP/index.html): Factor Model Asset Pricing
[JFE](https://cran.r-project.org/web/packages/JFE/index.html): Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics
[jubilee](https://cran.r-project.org/web/packages/jubilee/index.html): Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles
[kisopenapi](https://cran.r-project.org/web/packages/kisopenapi/index.html): Korea Investment & Securities (KIS) Open Trading API
[KrakenR](https://cran.r-project.org/web/packages/KrakenR/index.html): Comprehensive R Interface for Accessing Kraken Cryptocurrency Exchange REST API
[lazytrade](https://cran.r-project.org/web/packages/lazytrade/index.html): Learn Computer and Data Science using Algorithmic Trading
[lcyanalysis](https://cran.r-project.org/web/packages/lcyanalysis/index.html): Stock Data Analysis Functions
[LifeInsuranceContracts](https://cran.r-project.org/web/packages/LifeInsuranceContracts/index.html): Framework for Traditional Life Insurance Contracts
[Jdmbs](https://cran.r-project.org/web/packages/Jdmbs/index.html): Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
[JFE](https://cran.r-project.org/web/packages/JFE/index.html): Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics
[jrvFinance](https://cran.r-project.org/web/packages/jrvFinance/index.html): Basic Finance; NPV/IRR/Annuities/Bond-Pricing; Black Scholes
[JumpTest](https://cran.r-project.org/web/packages/JumpTest/index.html): Financial Jump Detection
[ldhmm](https://cran.r-project.org/web/packages/JumpTest/index.html): Hidden Markov Model for Financial Time-Series Based on Lambda Distribution
[macrocol](https://cran.r-project.org/web/packages/macrocol/index.html): Colombian Macro-Financial Time Series Generator
[mfGARCH](https://cran.r-project.org/web/packages/mfGARCH/index.html): Mixed-Frequency GARCH Models
[moexer](https://cran.r-project.org/web/packages/moexer/index.html): Interact with Moscow Exchange Informational and Statistical Server ('ISS')
[MTS](https://cran.r-project.org/web/packages/MTS/index.html): All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
[multiAssetOptions](https://cran.r-project.org/web/packages/multiAssetOptions/index.html): Finite Difference Method for Multi-Asset Option Valuation
[MultiATSM](https://cran.r-project.org/web/packages/MultiATSM/index.html): Multicountry Term Structure of Interest Rates Models
[nser](https://cran.r-project.org/web/packages/nser/index.html): Bhavcopy and Live Market Data from National Stock Exchange(NSE) India of Equities and Derivatives(F&O)
[optionstrat](https://cran.r-project.org/web/packages/optionstrat/index.html): Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies
[pafdR](https://cran.r-project.org/web/packages/pafdR/index.html): Book Companion for Processing and Analyzing Financial Data with R
[pcalls](https://cran.r-project.org/web/packages/pcalls/index.html): Pricing of Different Types of Call
[pdfetch](https://cran.r-project.org/web/packages/pdfetch/index.html): Fetch Economic and Financial Time Series Data from Public Sources
[PINstimation](https://cran.r-project.org/web/packages/PINstimation/index.html): Estimation of the Probability of Informed Trading
[PMwR](https://cran.r-project.org/web/packages/PMwR/index.html): Portfolio Management with R
[portfolio](https://cran.r-project.org/web/packages/portfolio/index.html): Analysing Equity Portfolios
[PortfolioAnalytics](https://cran.r-project.org/web/packages/PortfolioAnalytics/): Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
[portfolioBacktest](https://cran.r-project.org/web/packages/portfolioBacktest/index.html): Automated Backtesting of Portfolios over Multiple Datasets
[portsort](https://cran.r-project.org/web/packages/portsort/index.html): Factor-Based Portfolio Sorts
[portvine](https://cran.r-project.org/web/packages/portvine/index.html): Vine Based (Un)Conditional Portfolio Risk Measure Estimation
[priceR](https://cran.r-project.org/web/packages/priceR/index.html): Economics and Pricing Tools
[PWEV](https://cran.r-project.org/web/packages/PWEV/index.html): PSO Based Weighted Ensemble Algorithm for Volatility Modelling
[QFRM](https://cran.r-project.org/web/packages/QFRM/index.html): Pricing of Vanilla and Exotic Option Contracts
[qmj](https://cran.r-project.org/web/packages/qmj/index.html): Quality Scores for the Russell 3000
[QuantBondCurves](https://cran.r-project.org/web/packages/QuantBondCurves/index.html): Calculates Bond Values and Interest Rate Curves for Finance
[quantdates](https://cran.r-project.org/web/packages/quantdates/index.html): Manipulate Dates for Finance
[quarks](https://cran.r-project.org/web/packages/quarks/index.html): Simple Methods for Calculating Value at Risk and Expected Shortfall
[R4GoodPersonalFinances](https://cran.r-project.org/web/packages/R4GoodPersonalFinances/index.html): Make Better Financial Decisions
[ragtop](https://cran.r-project.org/web/packages/ragtop/index.html): Pricing Equity Derivatives with Extensions of Black-Scholes
[rb3](https://cran.r-project.org/web/packages/rb3/index.html): Download and Parse Public Data Released by B3 Exchange
[RblDataLicense](https://cran.r-project.org/web/packages/RblDataLicense/index.html): R Interface to 'Bloomberg Data License'
[REN](https://cran.r-project.org/web/packages/REN/index.html): Regularization Ensemble for Robust Portfolio Optimization
[RFinanceYJ](https://cran.r-project.org/web/packages/RFinanceYJ/index.html): RFinanceYJ
[rgdax](https://cran.r-project.org/web/packages/rgdax/index.html): Wrapper for 'Coinbase Pro (erstwhile GDAX)' Cryptocurrency Exchange
[Riex](https://cran.r-project.org/web/packages/Riex/index.html): IEX Stocks and Market Data
[RobinHood](https://cran.r-project.org/web/packages/RobinHood/index.html): Interface for the RobinHood.com No Commission Investing Platform
[RPEIF](https://cran.r-project.org/web/packages/RPEIF/index.html): Computation and Plots of Influence Functions for Risk and Performance Measures
[RPESE](https://cran.r-project.org/web/packages/RPESE/index.html): Estimates of Standard Errors for Risk and Performance Measures
[rpredictit](https://cran.r-project.org/web/packages/rpredictit/index.html): Interface to the 'PredictIt' API
[RTL](https://cran.r-project.org/web/packages/RTL/index.html): Risk Tool Library - Trading, Risk, Analytic for Commodities
[rtsdata](https://cran.r-project.org/web/packages/rtsdata/index.html): R Time Series Intelligent Data Storage
[rusquant](https://cran.r-project.org/web/packages/rusquant/index.html): Quantitative Trading Framework
[schwabr](https://cran.r-project.org/web/packages/schwabr/index.html): 'Schwab API' Interface for R
[seasonalityPlot](https://cran.r-project.org/web/packages/seasonalityPlot/index.html): Seasonality Variation Plots of Stock Prices and Cryptocurrencies
[segMGarch](https://cran.r-project.org/web/packages/segMGarch/index.html): Multiple Change-Point Detection for High-Dimensional GARCH Processes
[sentometrics](https://cran.r-project.org/web/packages/sentometrics/index.html): An Integrated Framework for Textual Sentiment Time Series Aggregation and Prediction
[sharpeRratio](https://cran.r-project.org/web/packages/sharpeRratio/index.html): Moment-Free Estimation of Sharpe Ratios
[simfinR](https://cran.r-project.org/web/packages/simfinR/index.html): Import Financial Data from the 'SimFin' Project
[SMFI5](https://cran.r-project.org/web/packages/SMFI5/index.html): R functions and data from Chapter 5 of 'Statistical Methods for Financial Engineering'
[SmithWilsonYieldCurve](https://cran.r-project.org/web/packages/SmithWilsonYieldCurve/index.html): Smith-Wilson Yield Curve Construction
[sparseIndexTracking](https://cran.r-project.org/web/packages/sparseIndexTracking/index.html): Design of Portfolio of Stocks to Track an Index
[Spillover](https://cran.r-project.org/web/packages/Spillover/index.html): Spillover/Connectedness Index Based on VAR Modelling
[starvars](https://cran.r-project.org/web/packages/starvars/index.html): Vector Logistic Smooth Transition Models / Realized Covariances Construction
[Strategy](https://cran.r-project.org/web/packages/Strategy/index.html): Generic Framework to Analyze Trading Strategies
[stressr](https://cran.r-project.org/web/packages/stressr/index.html): Fetch and plot financial stress index and component data
[stockAnalyst](https://cran.r-project.org/web/packages/stockAnalyst/index.html): Equity Valuation using Methods of Fundamental Analysis
[StockDistFit](https://cran.r-project.org/web/packages/StockDistFit/index.html): Fit Stock Price Distributions
[stocks](https://cran.r-project.org/web/packages/stocks/index.html): Stock Market Analysis
[svines](https://cran.r-project.org/web/packages/svines/index.html): fit and simulate from stationary vine copula models for time series. An associated [paper](https://www.sciencedirect.com/science/article/pii/S0304407621003043) uses the package to forecast returns of a portfolio of 20 stocks.
[td](https://cran.r-project.org/web/packages/td/index.html): Access to the 'twelvedata' Financial Data API
[tidyedgar](https://cran.r-project.org/web/packages/tidyedgar/index.html): Tidy Fundamental Financial Data from 'SEC's 'EDGAR' 'API'
[tidyfinance](https://cran.r-project.org/web/packages/tidyfinance/index.html): Tidy Finance Helper Functions, with associated [book](https://www.tidy-finance.org/r/index.html)
[tsmarch](https://cran.r-project.org/web/packages/tsmarch/index.html): Multivariate ARCH Models
[tqk](https://cran.r-project.org/web/packages/tqk/index.html): Get Financial Data in Korea
[Trading](https://cran.r-project.org/web/packages/Trading/index.html): CCR, Entropy-Based Correlation Estimates & Dynamic Beta
[treasury](https://cran.r-project.org/web/packages/treasury/index.html): US Treasury XML Feed Wrapper
[treasuryTR](https://cran.r-project.org/web/packages/treasuryTR/index.html): Generate Treasury Total Returns from Yield Data
[tscopula](https://cran.r-project.org/web/packages/tscopula/index.html): Time Series Copula Models
[TSEtools](https://cran.r-project.org/web/packages/TSEtools/index.html): Manage Data from Stock Exchange Markets
[tsgarch](https://cran.r-project.org/web/packages/tsgarch/index.html): Univariate GARCH Models
[tvgarch](https://cran.r-project.org/web/packages/tvgarch/index.html): Time Varying GARCH Modelling
[tvGarchKF](https://cran.r-project.org/web/packages/tvGarchKF/index.html): Time-Varying Garch Models Through a State-Space Representation
[TVMVP](https://cran.r-project.org/web/packages/TVMVP/index.html): Time-Varying Minimum Variance Portfolio
[TwitterAutomatedTrading](https://cran.r-project.org/web/packages/TwitterAutomatedTrading/index.html): Automated Trading Using Tweets
[uncorbets](https://cran.r-project.org/web/packages/uncorbets/index.html): Uncorrelated Bets via Minimum Torsion Algorithm
[valuer](https://cran.r-project.org/web/packages/valuer/index.html): Pricing of Variable Annuities
[vamc](https://cran.r-project.org/web/packages/vamc/index.html): A Monte Carlo Valuation Framework for Variable Annuities
[VaRES](https://cran.r-project.org/web/packages/VaRES/index.html): Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
[wqc](https://cran.r-project.org/web/packages/wqc/index.html): Wavelet Quantile Correlation Analysis. Wavelet quantile correlation is used to capture the dependency between two time series across quantiles and different frequencies. This method is useful in identifying potential hedges and safe-haven instruments for investment purposes.
[xVA](https://cran.r-project.org/web/packages/xVA/index.html): Credit Risk Valuation Adjustments
[ycevo](https://cran.r-project.org/web/packages/ycevo/index.html): Nonparametric Estimation of the Yield Curve Evolution
[yfR](https://cran.r-project.org/web/packages/yfR/index.html): Downloads and Organizes Financial Data from Yahoo Finance
[yfscreen](https://cran.r-project.org/web/packages/yfscreen/index.html): Yahoo Finance 'screener' API
[YieldCurve](https://cran.r-project.org/web/packages/YieldCurve/index.html): Modelling and Estimation of the Yield Curve