Rsafd: Statistical Analysis of Financial Data in R
Version 1.2

This package was developed for the book 'Statistical Analysis of Financial Data in R'. It provides the functions and the data sets used in the book...

Browse man pages Browse package API and functions Browse package files

AuthorRene Carmona <rcarmona@princeton.edu>
Date of publication2014-01-17 18:39:23
MaintainerPaul Hofmarcher <paul.hofmarcher@wu.ac.at>
LicenseGPL-2
Version1.2
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("Rsafd", repos="http://R-Forge.R-project.org")

Man pages

AFT.mat: Matrix of Afternoon High Frequency S&P Indices
BASKETBALL: Basketball data
BCofLRet: Coffee log-returns
block.max: BLOCK MAXIMA ESTIMATION
CORNTEMP: Corn and Temperature Data
CRUDE: Price of future contracts of crude oil
dmvnorm: Multivariate Normal (Gaussian) distribution
eda.shape: Empirical Data Analysis
empirical.copula: Different copula classes
fit.copula: Maximum Likelihood Fit of a Copula
FRWRD: Natural gas forward contracts
GermanB041700: German Treasury Bonds
gev: GENERALIZED EXTREME VALUE DISTRIBUTION
GEYSER: ~~ data name/kind ... ~~
gpd.1p: CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.tail: POT ESTIMATION OF A GENERALIZED PARETO DISTRIBUTION
hills: Hill races
Kendalls.tau: Compute Kendall's Tau
kreg: Kernel Regression
MORN.mat: Matrix of Morning High Frequency S&P Indices
Rsafd-package: Functions and Data for the book Statistical Analysis of...
shape.plot: ESTIMATE OF XI AS FUNCTION OF THE THRESHOLD
Spearmans.rho: Compute Spearman's Rho
tailplot: GENERALIZED EXTREME VALUE DISTRIBUTION
TSTSP: ~~ data name/kind ... ~~
us.bis.yield: US yield data
UTIL.index: Utilities Indexes
VW: VW_Intraday data

Functions

A.dist.L1.norm Source code
AFT.mat Man page
BASKETBALL Man page
BCofLRet Man page
CCofLRet Man page
CORNTEMP Man page
CRUDE Man page
DUKE.index Man page
ENRON.index Man page
FRWRD Man page
GEYSER Man page
GermanB041700 Man page
K.Kern.est Source code
K.ast.Kern.est Source code
Kendalls.tau Man page
MORN.mat Man page
Pearson.test Source code
Rsafd Man page
Rsafd-package Man page
Spearmans.rho Man page
TSTSP Man page
UTIL.index Man page
VaR.exp.portf Source code
VaR.exp.sim Source code
Wis Source code
archm.copula Source code
bb1.copula Man page Source code
bb2.copula Man page Source code
bb3.copula Man page Source code
bb4.copula Man page Source code
bb5.copula Man page Source code
bb6.copula Man page Source code
bb7.copula Man page Source code
bivd Source code
block.max Man page Source code
contour.dcopula Source code
contour.pcopula Source code
cop.dist.L2.norm Source code
dbivd Source code
dcdx.archm.copula Source code
dcdx.ev.copula Source code
dgev Man page Source code
dgpd Source code
dmvnorm Man page Source code
eda.shape Man page Source code
empirical.copula Source code Source code
estimate.mix.gev Source code
evalFunc Source code
fbar.exp.portf Source code
fbar.lin.portf Source code
fit.copula Man page Source code
frank.copula Man page Source code
galambos.copula Man page Source code
gev Man page
gev.lmom Source code
gev.ml Source code
gpd.1p Man page Source code
gpd.1q Man page Source code
gpd.2p Man page Source code
gpd.2q Man page Source code
gpd.cdf Man page
gpd.lmom Source code
gpd.ml Source code
gpd.tail Man page Source code
gumbel.copula Man page Source code
hills Man page
husler.reiss.copula Man page Source code
joe.copula Man page Source code
kdest Source code
kimeldorf.sampson.copula Man page Source code
kreg Man page
l1fit Source code
normal.copula Man page Source code
normal.mix.copula Man page Source code
pbivd Source code
persp.copula Source code
persp.dcopula Source code
persp.pcopula Source code
pgev Man page Source code
pgpd Source code
plot.gpd Source code
ploting.position.estimator.LMOM Source code
pmvnorm Man page
qgev Man page Source code
qgpd Source code
qqexp Source code
rbivd Source code
rgev Man page Source code
rgpd Source code
rmvnorm Man page Source code
sample.LMOM Source code
shape.plot Man page Source code
tailplot Man page Source code
tawn.copula Man page Source code
us.bis.yield Man page
vw Man page

Files

DESCRIPTION
NAMESPACE
R
R/Copulas.R
R/MultivariateFuncs.R
R/Regression.R
R/VaR.exp.portf.R
R/VaR.exp.sim.R
R/abscor.R
R/axcor.R
R/begday.R
R/bivd.R
R/bns.R
R/bscall.R
R/der.R
R/dgev.R
R/dgpd.R
R/dmvnorm.R
R/eda.shape.R
R/empirical.copula.R
R/estimate.mix.gev.R
R/fit.copula.R
R/fns.R
R/gev.lmom.R
R/gev.ml.R
R/gpd.1p.R
R/gpd.1q.R
R/gpd.2p.R
R/gpd.2q.R
R/gpd.lmom.R
R/gpd.ml.R
R/gpd.tail.R
R/gpdjoint.1p.R
R/gpdjoint.2p.R
R/htd.R
R/kalman.R
R/kdest.R
R/kreg.R
R/l1fit.R
R/localvar.R
R/makedate.R
R/noon.R
R/p2Dnorm.R
R/pgev.R
R/pgpd.R
R/plot.gpd.R
R/ploting.position.estimator.LMOM.R
R/pmvnorm.R
R/qgev.R
R/qgpd.R
R/qqexp.R
R/readindex.R
R/rgev.R
R/rgpd.R
R/sample.LMOM.R
R/shape.plot.R
R/squarecor.R
R/sstl.R
R/tailplot.R
R/ts.R
R/yns.R
R/zzz.R
data
data/AFT.mat.rda
data/BASKETBALL.rda
data/BCofLRet.rda
data/CCofLRet.rda
data/CORNTEMP.rda
data/CRUDE.rda
data/DSP.rda
data/DSP500.rda
data/DSPLR.rda
data/DUKE.index.rda
data/DUKE.wer.rda
data/DUKE1.wer.rda
data/DUKE2.wer.rda
data/DukeLR.rda
data/ENRON.index.rda
data/FRWRD.rda
data/GEYSER.rda
data/GermanB041700.rda
data/HOWAREYOU.rda
data/IBM.rda
data/INT.YIELD.rda
data/LIFE.rda
data/M.wer.rda
data/M1.wer.rda
data/M2.wer.rda
data/MID1.rda
data/MIND.rda
data/MORN.mat.rda
data/MSP.rda
data/PCS.rda
data/PPRICE.rda
data/PSPOT.rda
data/ROCK.rda
data/SHAPE.XI.rda
data/SHIP.rda
data/SMORN.mat.rda
data/STRENGTH.rda
data/SUBSP.rda
data/TC.rda
data/TRGSP.rda
data/TRGSP2000.rda
data/TSTSP.rda
data/TSTSP2000.rda
data/USBN041700.rda
data/UTIL.index.rda
data/UTILITIES.rda
data/VINEYARD.rda
data/WSP.rda
data/WSPLRet.rda
data/datalist
data/ethanol.rda
data/hills.rda
data/swap.rda
data/us.bis.yield.rda
data/vw.rda
data/y4nls1.rda
data/y4nls2.rda
man
man/AFT.mat.Rd
man/BASKETBALL.Rd
man/BCofLRet.Rd
man/CORNTEMP.Rd
man/CRUDE.Rd
man/FRWRD.Rd
man/GEYSER.Rd
man/GermanB041700.Rd
man/Kendalls.tau.Rd
man/MORN.mat.Rd
man/Rsafd-package.Rd
man/Spearmans.rho.Rd
man/TSTSP.Rd
man/UTIL.index.Rd
man/VW.Rd
man/block.max.Rd
man/dmvnorm.Rd
man/eda.shape.Rd
man/empirical.copula.Rd
man/fit.copula.Rd
man/gev.Rd
man/gpd.1p.Rd
man/gpd.tail.Rd
man/hills.Rd
man/kreg.Rd
man/shape.plot.Rd
man/tailplot.Rd
man/us.bis.yield.Rd
src
src/Array.h
src/empirfunc.cpp
src/kreg.cpp
test
Rsafd documentation built on May 21, 2017, 1:14 a.m.