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Last updated 19 April 2024
R packages I have created or contributed to:
garchx: Flexible and Robust GARCH-X Modelling
Latest version (CRAN)
Github: Development version, bugs, issues, reques
garchx: Flexible and Robust GARCH-X Modelling (2021). The R Journal 13, Issue 1, pp. 276-291 (PDF)
tvgarch: Time Varying GARCH Modelling (joint with Susana Campos-Martins)
Latest version (CRAN)
lgarch: Simulation and estimation of univariate and multivariate log-GARCH models
Latest version (CRAN)
Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown (2016). Computational Statistics and Data Analysis 100, pp. 582-594 (DOI). Working paper version: PDF. Joint with Steffen Grønneberg and Álvaro Escribano
Estimation of Log-GARCH Models in the Presence of Zero Returns (2018). European Journal of Finance 24, pp. 809-827 (DOI). Working paper version: PDF. Joint with Álvaro Escribano
gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods
Latest version (CRAN)
Homepage
Github: Development version, bugs, issues, requests
Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks (2018). Journal of Statistical Software 86, Issue 3, pp. 1-44 (DOI). Joint with Felix Pretis and James Reade
gets is the successor of the R package AutoSEARCH 
betategarch: Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
Latest version (CRAN)
betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models (2013). The R Journal (Volume 5/2), pp. 137-147
EGARCH models with fat tails, skewness and leverage (2014). Computational Statistics and Data Analysis 76, pp. 320-338. Working paper version: Cambridge Economics Working Paper 1236. Joint with Andrew Harvey
gfunctions: glag() and gsummary(), modifications of the lag() and summary() functions from the stats package
Latest version (CRAN)
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