Financial Econometric with R - A Brief Introduction

• This repo is still in preparation! I'm constantly adding, deleting, updating files and datasets. Anything in this repo is not final, all mistakes are mine.

• This repo contains some of the most basic applications of econometrics theories, including return calculations, probability/stats and risk management, time-series analysis, portfolio theories.

• Below is a short table of content: (you can find the corresponding folders and codes by number)

  1. A quick review of R and rmarkdown
  2. Data input, return calculation, and basic R graphics
  3. More on probability theory and Monte Carlo Simulation
  4. VaR (value-at-risk) and ES (expected shortfall)
  5. Basic time-series analysis in R
  6. More on time-series analysis in R
  7. Leverage effects of hedge funds
  8. VaR and out-of-sample evaluation
  9. Obtain financial data online