Rsafd: Statistical Analysis of Financial Data in R

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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...

Author
Rene Carmona <rcarmona@princeton.edu>
Date of publication
2014-01-17 18:39:23
Maintainer
Paul Hofmarcher <paul.hofmarcher@wu.ac.at>
License
GPL-2
Version
1.2

View on R-Forge

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

Files in this package

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