Show simple item record

2017-02-20Diskussionpapier DOI: 10.18452/18690
RiskAnalytics: an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
dc.contributor.authorBorke, Lukas
dc.date.accessioned2018-01-10T14:57:44Z
dc.date.available2018-01-10T14:57:44Z
dc.date.issued2017-02-20
dc.identifier.urihttp://edoc.hu-berlin.de/18452/19400
dc.description.abstractIn order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing and parallelized quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The derived “Risk Analytics” can help to forecast and evaluate the systemic risk for the corresponding markets. The visualization and the up-to-date FRM can be found on http://frm.wiwi.hu-berlin.de. Supplementary R codes are published on www.quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating lasso penalized quantile regression methods with full solution paths and cluster computing support around the topic “Risk Analytics and FRM”.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin
dc.subjectRisk Analyticseng
dc.subjectFRMeng
dc.subjectData Analyticseng
dc.subjectSystemic Riskeng
dc.subjectQuantile Regressioneng
dc.subjectLassoeng
dc.subjectValue at Riskeng
dc.subjectParallel and Cluster Computingeng
dc.subjectEDAeng
dc.subjectData Visualizationeng
dc.subject.ddc330 Wirtschaft
dc.titleRiskAnalytics: an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/19400-1
dc.identifier.doihttp://dx.doi.org/10.18452/18690
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages19
local.edoc.type-nameDiskussionpapier
local.edoc.institutionWirtschaftswissenschaftliche Fakultät
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2017
local.edoc.container-issue6
local.edoc.container-erstkatid2195055-6

Show simple item record