simontrimborn Goto Github PK

ccs

The Cross-Section of Crypto-Currencies as Financial Asset

crix

Quantlets for the CRIX project

gofcopula

This repository contains the R package gofCopula. Several Goodness-of-Fit (GoF) tests for Copulae are provided including a hybrid test. 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.

ic

Quantlets for the Information Criteria talk in Metis

libro

Quantlets for the project "Investing with cryptocurrencies - A LIquidity Bounded Risk-return Optimization approach"

lisar

netvar

A R package to fit VAR type models developed for data exhibiting network structures

sfe

Quantnet: SFE quantlets

sgnar

This repository contains the code which implements the algorithm for the SGNAR model introduced in the paper "Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling" as well as the Bitcoin blockchain data used in the analysis.