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aafdr

aqrr

AQR Asset Management datasets in R

astimeseries

Makes it easier to migrate between the R-Mertrics and the tidyverse environments

br-fama-french-factors

Due to the absence of Fama-French factors for the Brazilian market, this repository aims to provide an open database for comprehensive analysis of assets and portfolios in the Brazilian financial market.

capmr

An equilibrium approach to model asset prices

cma

Copula Marginal Algorithm

cointegrate

conda_commands

conda shortcuts

copula

:exclamation: This is a read-only mirror of the CRAN R package repository. copula — Multivariate Dependence with Copulas. Homepage: http://copula.r-forge.r-project.org/

dynamicstrategies

Convex vs Concave Portfolio Management

epo

Enhanced Portfolio Optimization (EPO)

ettj

Yield curve estimation via the two step method of decay parameters optimization.

exactmeancov

factorfactory

Routines to build Factors on Demand

ffp

Fully Flexible Probabilities for Stress-Testing and Portfolio Construction

fromquandl

Download IMF and World Bank `tidy` data From Quandl

gevsimulation

A shiny app to demonstrate the impact of the parameters `mu`, `sigma` and `xi` in the GEV distribution.

ggdcr

Download long-term macroeconomic data from GGDC

ghyp

:exclamation: This is a read-only mirror of the CRAN R package repository. ghyp — Generalized Hyperbolic Distribution and Its Special Cases

idexr

JGP CDI Debenture Index.

invariance

Simple invariance tests for statistical analysis

large-tvp-var

Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.

leaps

Regression Subset Selection

meucci

michaud

Michaud Resampling Portfolios done in R

mlfinlab

MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

momentmatching

mydownloads

nefin

NEFIN datasets in R

performanceanalytics