R Development Page
Contributed R Packages
Below is a list of all packages provided by project R Programming 2019 (Uni Innsbruck).
Important note for package
binaries: R-Forge provides these binaries only for
the most recent version of R, but not for older
versions. In order to successfully install the
packages provided on R-Forge, you have to switch
to the most recent version of R or, alternatively,
install from the package sources (.tar.gz).
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LFUrmutils | LFU Risk Management Utilities
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Utility functions for the bachelors 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. |
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Version: 0.1-5 |
Last change: 2020-01-02 16:48:43+01 |
Rev.: 122 |
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Download:
 (.tar.gz) |
 (.zip) |
Build status: Current |
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R install command:
install.packages("LFUrmutils", repos="http://R-Forge.R-project.org") |
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bcVAR | Bias-Corrected Least Squares for Vector Autoregressive Models
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Bias-corrected least squares for vector autoregressive models are provided. |
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Version: 0.1-0 |
Last change: 2019-07-30 01:01:03+02 |
Rev.: 104 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("bcVAR", repos="http://R-Forge.R-project.org") |
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event2car | Cumulative Abnormal Return(s) of Event(s) for Firm(s)
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The package allows for the calculation of cumulative abnormal return(s) of one or several event(s) for one or multiple firm(s). The package covers three models for the calculation of the cumulative abnomral returns: the mean-adjusted model, the out-of-sample market-adjusted model, and the within-sample market adjusted mdoel. The function applies the following steps to securities rates of returns: A) calculate abnormal returns for the estimation period, B) predict abnormal returns for event period(s), C) aggregate the predicted abnormal returns to cumulative abnormal return(s) for event dates. |
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Version: 1.0 |
Last change: 2019-06-19 14:47:18+02 |
Rev.: 80 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("event2car", repos="http://R-Forge.R-project.org") |
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htobit | Heteroscedastic Tobit Regression Models
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Heteroscedastic tobit regression models are provided.
These are Gaussian regression models with a response variable left-censored at zero
and both distribution parameters (the latent location and scale)
can depend on covariates. An identity link is employed for the location
equation and a log link for the scale equation. |
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Version: 0.1-0 |
Last change: 2019-06-19 04:04:40+02 |
Rev.: 58 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("htobit", repos="http://R-Forge.R-project.org") |
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ivol | Option-implied Informations
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Estimating time series of risk-neutral momentum or moments out of option implied volatility surfaces. |
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Version: 0.1-5 |
Last change: 2019-09-18 20:18:22+02 |
Rev.: 120 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("ivol", repos="http://R-Forge.R-project.org") |
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ppml | Poisson Pseudo Maximum Likelihood Estimator
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Can be used to estimate gravity models using the glm function of stats with the quasipoisson distribution, a log-link and heteroskedasticity robust standard errors. The robust standard errors are calculated with the sandwich and coeftest package. |
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Version: 0.1 |
Last change: 2019-08-27 23:53:19+02 |
Rev.: 108 |
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Download:
(.tar.gz) |
(.zip) |
Build status: Current |
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R install command:
install.packages("ppml", repos="http://R-Forge.R-project.org") |
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Build status codes
0 - Current: the package is available for download. The corresponding package passed checks on the Linux and Windows platform without ERRORs.
1 - Scheduled for build: the package has been recognized by the build system and provided in the staging area.
2 - Building: the package has been sent to the build machines. It will be built and checked using the latest patched version of R. Note that it is included in a batch of several packages. Thus, this process will take some time to finish.
3 - Failed to build: the package failed to build or did not pass the checks on the Linux and/or Windows platform. It is not made available since it does not meet the policies.
4 - Conflicts: two or more packages of the same name exist. None of them will be built. Maintainers are asked to negotiate further actions.
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