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R Packages

The first section of this site is dedicated to the R packages that I maintain. These are (in alphabetical order):

• cccp: Cone constrained convex programs.
• evir: Covers Extreme Value Theory.
• FRAPO: Accompanying package to the book Financial Risk Modelling and Portfolio Optimisation with R (2013, see).
• gogarch: Covers multivariate GARCH models in the guise of the generalised orthogonal approach.
• QRM: Provides functions for replicating results in Quantitative Risk Modelling: Concepts, Techniques, and Tools by McNeil, A., Frey, R. and Embrechts, P. (see).
• rneos: Implementation of the XML-RPC API of the Network Enabled Optimization System (see).
• urca: Accompanying package to the book Analysis of Integrated and Cointegrated Time Series with R (first and second edition, see).
• vars: This is a complementary package to urca wherein the class of Vector Auto-Regressive models – in the broader sense – have been implemented.

Books

The second purpose of this site is to offer additional information to the books I have written and to provide complimentary material. Beneath the link in the top box you can access (in alphabetical order of publishers):

• FAZ: Additional information to the booklet Modelling Financial Risks.
• Springer: Complimentary material to the first and second edition of Analysis of Integrated and Cointegrated Time Series with R, including the R code examples for download.
• Wiley: Complimentary material to the first and second edition of Financial Risk Modelling and Portfolio Optimisation with R.

Conferences

Last but not least, the presentations held at various conferences are made available for download. These files have been grouped by the kind of conference. As most of the presentations have been created with Sweave the source-files are made available upon request, too.

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