R packages

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

  • cccp
  • evir
  • gogarch
  • mcrp
  • QRM
  • rbtc
  • rneos
  • urca
  • vars


The second purpose of this site is to offer additional information to the books I have written and to provide complimentary material.

  • Analysis of Integrated and Cointegrated Time Series with R
  • Financial Risk Modelling and Portfolio Optimisation with R
  • Modelling Financial Risks


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.