RMetrics
From MaRDI portal
Cited in
(only showing first 100 items - show all)- EVIM
- ARbiascorrect
- eventstudies
- ABCExtremes
- expint
- Inference on the tail process with application to financial time series modeling
- Fast goodness-of-fit tests based on the characteristic function
- fBasics
- tseries
- STABLE
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- A new class of independence tests for interval forecasts evaluation
- Specification tests for the error distribution in GARCH models
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- A simple approach to maximum intractable likelihood estimation
- S+FinMetrics
- copula
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- POT
- FitAR
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
- Interval forecasts based on regression trees for streaming data
- Conditional empirical copula processes and generalized measures of association
- On automatic bias reduction for extreme expectile estimation
- Fractional Erlang queues
- fExoticOptions
- fGarch
- PerformanceAnalytics
- quantmod
- TTR
- xts
- Blind source separation for compositional time series
- evir
- normalp
- zoo
- VarianceGamma
- sbgcop
- SpatialExtremes
- evd
- ssfit
- texmex
- TwoCop
- WeightedPortTest
- bindata
- Rugarch
- TestEVC1d
- evdbayes
- fExtremes
- SDD
- StatDA
- lmomco
- Finite-sample properties of estimators for first and second order autoregressive processes
- MCMC4Extremes
- PMCMR
- normtest
- LAHS
- BootPR
- Computational finance. An introductory course with R
- An introduction to analysis of financial data with R.
- timeSeries
- stabledist
- PortfolioOptim
- evt0
- A framework for analyzing the robustness of movement models to variable step discretization
- FReET
- Gumbel
- fgac
- fCopulae
- fMultivar
- Combining predictive distributions
- Applied Econometrics with R
- neldermead
- fgof
- ReIns
- GHICA
- xlsx
- permute
- fPortfolio
- fAsianOptions
- ppcc
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Statistical arbitrage with vine copulas
- Specification testing in nonparametric AR‐ARCH models
- ltmix
- A Bayesian approach for estimating the parameters of an α-stable distribution
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- Graphical comparison of normality tests for unimodal distribution data
- Preprocessing of centred logratio transformed density functions using smoothing splines
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- On the efficacy of stop-loss rules in the presence of overnight gaps
- A method to estimate power parameter in exponential power distribution via polynomial regression
- expdepth
- Robust analogs to the coefficient of variation
- Testing for correlation between two time series using a parametric bootstrap
- Testing for Serial Independence: Beyond the Portmanteau Approach
- Stock market forecasting by using a hybrid model of exponential fuzzy time series
- ExtremeRisks
- Nonparametric density estimation for linear processes with infinite variance
- New independent component analysis tools for time series
- A software review for extreme value analysis
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