CRAN Task View: Empirical Finance

Maintainer:Dirk Eddelbuettel
Contact:Dirk.Eddelbuettel at
Contributions:Suggestions and improvements for this task view are very welcome and can be made through issues or pull requests on GitHub or via e-mail to the maintainer address. For further details see the Contributing guide.
Citation:Dirk Eddelbuettel (2022). CRAN Task View: Empirical Finance. Version 2022-05-20. URL
Installation:The packages from this task view can be installed automatically using the ctv package. For example, ctv::install.views("Finance", coreOnly = TRUE) installs all the core packages or ctv::update.views("Finance") installs all packages that are not yet installed and up-to-date. See the CRAN Task View Initiative for more details.

This CRAN Task View contains a list of packages useful for empirical work in Finance, grouped by topic.

Besides these packages, a very wide variety of functions suitable for empirical work in Finance is provided by both the basic R system (and its set of recommended core packages), and a number of other packages on the Comprehensive R Archive Network (CRAN). Consequently, several of the other CRAN Task Views may contain suitable packages, in particular the Econometrics, Optimization, Robust, and TimeSeries Task Views.

The ctv package supports these Task Views. Its functions install.views and update.views allow, respectively, installation or update of packages from a given Task View; the option coreOnly can restrict operations to packages labeled as core below.

Contributions are always welcome and encouraged, either via e-mail to the maintainer or by submitting an issue or pull request in the GitHub repository linked above. See the Contributing page in the CRAN Task Views repo for details.

Standard regression models

Time series


Risk management


Data and date management

CRAN packages

Core:fAssets, fBasics, fBonds, fCopulae, fExtremes, fGarch, fImport, fMultivar, fNonlinear, fPortfolio, fRegression, fTrading, PerformanceAnalytics, rugarch, timeDate, timeSeries, tseries, urca, xts, zoo.
Regular:actuar, AmericanCallOpt, AssetCorr, backtest, bayesGARCH, BCC1997, BenfordTests, betategarch, bidask, bizdays, BLModel, bmgarch, BurStFin, BurStMisc, CADFtest, car, ChainLadder, copula, copulaData, credule, crseEventStudy, cvar, data.table, derivmkts, dlm, DOSPortfolio, Dowd, DriftBurstHypothesis, dse, DtD, dyn, dynlm, ESG, estudy2, etrm, factorstochvol, fame, FatTailsR, FFdownload, fgac, FinancialMath, FinAsym, finreportr, fmdates, forecast, fracdiff, FRAPO, frenchdata, frmqa, GARCHSK, garchx, GCPM, gets, GetTDData, ghyp, gmm, gogarch, greeks, GUIDE, HDShOP, highfrequency, IBrokers, ichimoku, InfoTrad, lgarch, lmForc, lmtest, longmemo, LSMonteCarlo, LSMRealOptions, MarkowitzR, matchingMarkets, monobin, MSGARCH, mvtnorm, NetworkRiskMeasures, NFCP, nlme, NMOF, nvmix, obAnalytics, OptHedging, OptionPricing, pa, parma, pbo, PeerPerformance, PortfolioEffectHFT, PortfolioOptim, PortRisk, qrmdata, qrmtools, quantmod, ragtop, Rblpapi, Rcmdr, RcppQuantuccia, reinsureR, restimizeapi, Risk, riskParityPortfolio, RiskPortfolios, riskSimul, RM2006, rmgarch, RND, rpatrec, RQuantLib, RTL, sandwich, sde, SharpeR, Sim.DiffProc, simfinapi, stochvol, strand, strucchange, TAQMNGR, TFX, tidyquant, timsac, tis, TSdbi, tsDyn, tseriesChaos, TTR, tvm, ufRisk, vars, vrtest, wavelets, waveslim, wavethresh, XBRL.
Archived:lifecontingencies, markovchain, rwt.

Related links

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