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Financial Risk Modelling and Portfolio Optimization with R by Bernhard Pfaff

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Appendix A

Package overview

The inline packages cited and/or used are listed in this appendix. In Table A.1 the packages are ordered alphabetically and their descriptions are provided. In Table A.2 the packages are sorted by topic, and the package version numbers, dates and sources are provided. All of these package have been updated prior to publishing and the example code contained in this book has been processed with these packages.

A.1 Packages in alphabetical order

Table A.1 Packages in alphabetical order.

Name Title
AER Applied Econometrics with R
bayesGARCH Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
BLCOP Black–Litterman and copula-opinion pooling frameworks
ccgarch Conditional Correlation GARCH models
chron Chronological objects which can handle dates and times
coda Output analysis and diagnostics for MCMC
copula Multivariate Dependence with Copulas
covRobust Robust Covariance Estimation via Nearest Neighbor Cleaning
ctv CRAN Task Views
date Functions for handling dates
Davies The Davies quantile function
DEoptim Global optimization by Differential Evolution
dse Dynamic Systems Estimation (time series package)
EvalEst Dynamic Systems Estimation – extensions
evd Functions for extreme value distributions
evdbayes Bayesian Analysis in Extreme Value Theory
evir Extreme Values in R
extRemes Extreme value toolkit

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