fMultivar

Rmetrics - Modeling of Multivariate Financial Return Distributions

Diethelm Wuertz, Tobias Setz, Stefan Theussl

Last update: 11 July 2023

Software version identifier: 4021.83, 201.10059, 201.10060, 220.10063, 221.10065, 240.10067, 240.10068, 251.70, 260.71, 260.72, 270.73, 270.74, 290.75, 2100.76, 2152.77, 3011.78, 3042.80.1, 3042.80.2, 3042.80, 4031.84

Source code repository: https://github.com/cran/fMultivar

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Description

A collection of functions inspired by Venables and Ripley (2002) <doi:10.1007/978-0-387-21706-2> and Azzalini and Capitanio (1999) <arXiv:0911.2093> to manage, investigate and analyze bivariate and multivariate data sets of financial returns.

Cites work