scientific article

zbMath1279.91003MaRDI QIDQ2902624

Ruey S. Tsay

Publication date: 21 August 2012

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

ARtime seriesMAquantile regressionforecastinghigh-frequency datavolatilityARMAGARCH modelsmarket microstructureexpected shortfallvalue at riskfinancial data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Uses Software

• R
• CRAN
• fBasics
• RMetrics
• fGarch
• quantmod
• TTR
• xts
• evir
• zoo
• fPortfolio