Brian G Peterson

Brian G Peterson

3 packages on CRAN

1 packages on GitHub

99.99th

Percentile

Portfolio optimization and analysis routines and graphics.

quantstrat

github
99.99th

Percentile

Specify, build, and back-test quantitative financial trading and portfolio strategies.

99.99th

Percentile

Infrastructure for defining meta-data and relationships for financial instruments.

MSGARCH

cran
99.99th

Percentile

Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.