RMetrics

Rmetrics Open Source Project: With hundreds of functions built on modern methods, the Rmetrics open source software combines exploratory data analysis, statistical modelling and rapid model prototyping. The R/Rmetrics packages are embedded in R, building an environment which creates a first class system for applications in teaching statistics and finance. Rmetrics covers Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory and Copulae, Pricing of Derivatives, Portfolio Analysis, Design and Optimization, and much more.