Software

gofCopula

This R-package is a fire-and-forget software for Goodness-of-Fit (GoF) tests for Copulae. It consists of 13 tests and a Hybrid test, which allows for an informed decision about the functional form of the Copula. The package features in-build parallelization of the bootstrapping tasks, seed control for full reproducibility of the results and allows for the integration of user-specified GoF tests. The latter allows for the creation of new GoF tests and a benchmarking study of the new test with the package.

The package is available via CRAN: https://CRAN.R-project.org/package=gofCopula

  1. Okhrin, O., S. Trimborn, M. Waltz (2021) gofCopula: Goodness-of-Fit tests for copulae, The R-Journal, 13:1, 467-498, https://doi.org/10.32614/RJ-2021-060

IndexConstruction

This R-package is an implementation of the method developed for the CRIX index, Trimborn and Härdle (2018). The package allows for the derivation of a financial index with a flexible number of constituents, such that the index represents the current state of the market well. The package allows for a full derivation of an index and has individual functions for updating an existing index. The latter comes in handy for the updating of an index on a website. The package is the underlying engine for the website https://thecrix.de/ .

The package is available via CRAN: https://CRAN.R-project.org/package=IndexConstruction