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This repo is still in preparation! I'm constantly adding, deleting, updating files and datasets. Anything in this repo is not final, all mistakes are mine.
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This repo contains some of the most basic applications of econometrics theories, including return calculations, probability/stats and risk management, time-series analysis, portfolio theories.
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Below is a short table of content: (you can find the corresponding folders and codes by number)
- A quick review of R and rmarkdown
- Data input, return calculation, and basic R graphics
- More on probability theory and Monte Carlo Simulation
- VaR (value-at-risk) and ES (expected shortfall)
- Basic time-series analysis in R
- More on time-series analysis in R
- Leverage effects of hedge funds
- VaR and out-of-sample evaluation
- Obtain financial data online
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