Systems: ifrogs R package

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R package with certain functions useful in finance research. Link to the R-forge package repository: https://github.com/ifrogs

1. 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:

   • Do changes in distance-to-default anticipate changes in the credit rating?

2. ic:

   This function estimates the impact cost of trading a given quantity of a security on both the buy side and the sell side of the limit order book. Impact cost is a measure of liquidity, indicating the cost of transaction in a stock for a specific quantity at a given point in time.

   This function is being used in the following paper:

   • Measuring and analysing the asymmetry of liquidity

3. 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:

   • When stock futures dominate price discovery

4. 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:

   • The imprecision of volatility indexes