Brian G Peterson
3 packages on CRAN
1 packages on GitHub
Portfolio optimization and analysis routines and graphics.
Specify, build, and back-test quantitative financial trading and portfolio strategies.
Infrastructure for defining meta-data and relationships for financial instruments.
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>.