Pinned Repositories
scoringRules
scoring rules to evaluate probabilistic forecasts
highfrequency
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
alfred
An R-package for obtaining real-time data from ALFRED database
crypto-index
Market index for cryptocurrencies
HARforest
highfrequency
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
mfGARCH
An R package for using mixed-frequency GARCH models
scoringRules
scoring rules to evaluate probabilistic forecasts
volatility-forecasting
https://www.volatility-forecasting.de/
volatilityforecasting
onnokleen's Repositories
onnokleen/mfGARCH
An R package for using mixed-frequency GARCH models
onnokleen/alfred
An R-package for obtaining real-time data from ALFRED database
onnokleen/crypto-index
Market index for cryptocurrencies
onnokleen/HARforest
onnokleen/highfrequency
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
onnokleen/volatility-forecasting
https://www.volatility-forecasting.de/
onnokleen/scoringRules
scoring rules to evaluate probabilistic forecasts
onnokleen/volatilityforecasting