Package: smqf 1.1-8

smqf: Statistical Methods for Quantitative Finance

Provides data and functions used in the book "Statistical Methods for Quantitative Finance" by David Ardia (2026).

Authors:David Ardia [aut, cre, cph, fnd], Marius Hofert [ctb, cph], Kurt Hornik [ctb, cph], Alexander J. McNeil [ctb, cph], Dries Cornilly [ctb, cph], Kris Boudt [ctb, cph]

smqf_1.1-8.tar.gz
smqf_1.1-8.zip(r-4.7-any)smqf_1.1-8.zip(r-4.6-any)smqf_1.1-8.zip(r-4.5-any)
smqf_1.1-8.tgz(r-4.6-any)smqf_1.1-8.tgz(r-4.5-any)
smqf_1.1-8.tar.gz(r-4.7-any)smqf_1.1-8.tar.gz(r-4.6-any)
smqf_1.1-8.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
smqf/json (API)

# Install 'smqf' in R:
install.packages('smqf', repos = c('https://ardiad.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/ardiad/smqf-package/issues

Datasets:

On CRAN:

Conda:

3.54 score 323 downloads 12 exports 5 dependencies

Last updated from:2b7e072275. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK174
source / vignettesOK207
linux-releaseOK147
macos-releaseOK128
macos-oldrelOK105
windows-develOK99
windows-releaseOK87
windows-oldrelOK106
wasm-releaseOK115

Exports:f_clayton_copula_2d_pdff_display_copulaf_efficient_frontierf_gumbel_copula_2d_cdff_gumbel_copula_2d_pdff_mdpf_mvsk_portfoliof_normal_copula_pdff_portfolio_momentsf_ptf_max_Uf_student_copula_pdff_tail_dependence

Dependencies:latticenloptrpracmaxtszoo

Readme and manuals

Help Manual

Help pageTopics
CAC 40 Index (Daily, xts)CAC
DAX Index (Daily, xts)DAX
Dow Jones Industrial Average Index (Daily, xts)DJ
Dow Jones Industrial Average Constituents (Daily, xts)DJ_const
Euro Stoxx 50 Index (Daily, xts)EURSTOXX
Euro Stoxx 50 Constituents (Daily, xts)EURSTX_const
Raw Data Files Shipped with the Book's Import Examplesextdata
Clayton Copula PDF (2-Dimensional)f_clayton_copula_2d_pdf
Display a Bivariate Copula Surfacef_display_copula
Compute a Long-Only Mean–Variance Efficient Frontierf_efficient_frontier
Gumbel Copula CDF (2-Dimensional)f_gumbel_copula_2d_cdf
Gumbel Copula PDF (2-Dimensional)f_gumbel_copula_2d_pdf
Most Diversified Portfoliof_mdp
Higher-Moment Efficient Portfoliosf_mvsk_portfolio
Multivariate Normal Copula PDFf_normal_copula_pdf
Portfolio Co-Moments (Variance, Co-Skewness, Co-Kurtosis)f_portfolio_moments
Maximize Truncated MVSK Utility with Box & Budget Constraintsf_ptf_max_U
Multivariate Student-t Copula PDFf_student_copula_pdf
Empirical Tail Dependence and Exceedance Correlationf_tail_dependence
Fama–French Factors (Weekly, xts)FamaFrench
FRED-MD Macro Factors and Dow Jones Index Changes (Monthly, 2015–2019)Fred
FTSE 100 Index (Daily, xts)FTSE
FTSE 100 Constituents (Daily, xts)FTSE_const
Fung–Hsieh Factors (Monthly, xts)FungHsieh
Gold Price (Daily, xts)GOLD
Goyal–Welch Predictive Variables (Monthly, U.S.)GoyalWelch
Hang Seng Index (Daily, xts)HSI
NIKKEI 225 Index (Daily, xts)NIKKEI
Swiss Market Index (Daily, xts)SMI
S&P 500 Index (Daily, xts)SP500
S&P 500 Constituents (Weekly, xts)SP500_const
Daily Term Structure (1m–30y)TermStructure
CBOE Volatility Index VIX (Daily, xts)VIX