GAS

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Generalized Autoregressive Score Models

Leopoldo Catania

Last update: 4 February 2022

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.3.4

Official website: https://cran.r-project.org/web/packages/GAS/index.html

Source code repository: https://github.com/cran/GAS

Cites work

• Generalized Autoregressive Score Models in R: The GAS Package

Cited In (20)

• Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis
• BEKKs
• Risks in emerging markets equities: time-varying versus spatial risk analysis
• Multivariate GARCH models for large-scale applications: a survey
• CAViaR
• quantmod
• fGarch
• Rugarch
• MFE toolbox
• DySco
• neldermead
• ccgarch
• gets
• betategarch
• rmgarch
• GEVStableGarch
• mgarchBEKK
• BEKKs
• Risk quantification and validation for Bitcoin
• Model-based fuzzy time series clustering of conditional higher moments

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