gofCopula - Goodness-of-Fit Tests for Copulae

Several Goodness-of-Fit (GoF) tests for Copulae are provided. A new hybrid test, Zhang et al. (2016) <doi:10.1016/j.jeconom.2016.02.017> is implemented which supports all of the individual tests in the package, e.g. Genest et al. (2009) <doi:10.1016/j.insmatheco.2007.10.005>. Estimation methods for the margins are provided and all the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau. For reproducibility of results, the functions support the definition of seeds. Also all the tests support automatized parallelization of the bootstrapping tasks. The package provides an interface to perform new GoF tests by submitting the test statistic.

Last updated 3 years ago

3.16 score 29 scripts 338 downloads

IndexConstruction - Index Construction for Time Series Data

Derivation of indexes for benchmarking purposes. A methodology with flexible number of constituents is implemented. Also functions for market capitalization and volume weighted indexes with fixed number of constituents are available. The main function of the package, indexComp(), provides the derived index, suitable for analysis purposes. The functions indexUpdate(), indexMemberSelection() and indexMembersUpdate() are components of indexComp() and enable one to construct and continuously update an index, e.g. for display on a website. The methodology behind the functions provided gets introduced in Trimborn and Haerdle (2018) <doi:10.1016/j.jempfin.2018.08.004>.

Last updated 5 years ago

1.00 score 171 downloads