R: Statistical Methods in Quantitative Finance

# Statistical Methods in Quantitative Finance

## Documentation for package ‘smqf’ version 1.1-1

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

CAC | CAC 40 Index (Daily, xts)
DAX | DAX Index (Daily, xts)
DJ | Dow Jones Industrial Average Index (Daily, xts)
DJ_const | Dow Jones Industrial Average Constituents (Daily, xts)
EURSTOXX | Euro Stoxx 50 Index (Daily, xts)
EURSTX_const | Euro Stoxx 50 Constituents (Daily, xts)
FamaFrenchMonthly | Fama–French Factors (Monthly, xts)
FamaFrenchWeekly | Fama–French Factors (Weekly, xts)
Fred | FRED-MD Macro Factors and Dow Jones Returns (Monthly, 2015–2019)
FTSE | FTSE 100 Index (Daily, xts)
FTSE_const | FTSE 100 Constituents (Daily, xts)
FungHsieh | Fung–Hsieh Factors (Monthly, xts)
f_clayton_copula_2d_pdf | Clayton Copula PDF (2-Dimensional)
f_display_copula | Display a Bivariate Copula Surface
f_efficient_frontier | Compute a Long-Only Mean–Variance Efficient Frontier
f_gumbel_copula_2d_cdf | Gumbel Copula CDF (2-Dimensional)
f_gumbel_copula_2d_pdf | Gumbel Copula PDF (2-Dimensional)
f_normal_copula_pdf | Multivariate Normal Copula PDF
f_portfolio_moments | Portfolio Co-Moments (Variance, Co-Skewness, Co-Kurtosis)
f_ptf_max_U | Maximize Truncated MVSK Utility with Box & Budget Constraints
f_student_copula_pdf | Multivariate Student-t Copula PDF
f_tail_dependence | Empirical Tail Dependence and Exceedance Correlation
GOLD | Gold Price (Daily, xts)
GoyalWelch | Goyal–Welch Predictive Variables (Monthly, U.S.)
HSI | Hang Seng Index (Daily, xts)
NIKKEI | NIKKEI 225 Index (Daily, xts)
SMI | Swiss Market Index (Daily, xts)
SP500 | S&P 500 Index (Daily, xts)
TermStructure | Daily Term Structure (1m–30y)
VIX | CBOE Volatility Index VIX (Daily, xts)