Systems


ifrogs R package

R package with certain functions useful in finance research.

Link to the R-forge package repository: https://r-forge.r-project.org/projects/ifrogs/

dtd:

This function implements the Merton Model (1974) to derive the measure 'Distance to default' which can be used to assess the credit risk of a firm. The measure indicates how far is the firm from the default point.

This function is being used in the following paper:

pdshare:

This function is used to estimate the two most widely used approaches to measure price discovery: information share and component share. It can be used to determine the share of spot and futures market for a stock in price discovery. The function can currently be used for a bivariate case only.

This function is being used in the following paper:

vix_ci:

This function implements the methodology for constructing confidence intervals for model based volatility indexes.

This function is being used in the following paper: