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LFUrmutils: LFU Risk Management Utilities
Utility functions for the bachelor's seminar in risk management at the University of Innsbruck are provided. These include functions to compute (exponentially weighted) moving average models, a logLik method for fGARCH objects, and some convenience functions to make the output of various volatility models compareable, as well as a function to compute the corresponding mean squared errors.
Getting started
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Package details |
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| Author | Bernhard Eder [aut, cre], David Ruppert [ctb], David S. Matteson [ctb], Diethelm Wuertz [ctb] |
| Maintainer | Bernhard Eder <bernhard.eder@uibk.ac.at> |
| License | GPL-2 | GPL-3 |
| Version | 0.1-5 |
| Package repository | View on R-Forge |
| Installation |
Install the latest version of this package by entering the following in R:
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