Rugarch
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(only showing first 100 items - show all)- Stationary vine copula models for multivariate time series
- An \texttt{R} package for value at risk and expected shortfall
- dLagM
- SenTinMixt
- RATS
- tlrmvnmvt
- panelvar
- glogis
- stochvolTMB
- Estimation of risk measures in energy portfolios using modern copula techniques
- Linking Tukey's legacy to financial risk measurement
- CAViaR
- Compound unimodal distributions for insurance losses
- vars
- tseries
- Likelihood-based risk estimation for variance-gamma models
- Market risk management in a post-Basel II regulatory environment
- copula
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- VineCopula
- CDVine
- ghyp
- VaR
- Interval forecasts based on regression trees for streaming data
- Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
- DEoptim
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Estimation and decomposition of food price inflation risk
- Optimal forecasting accuracy using Lp-norm combination
- RMetrics
- fExoticOptions
- fGarch
- PerformanceAnalytics
- quantmod
- xts
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- normalp
- reshape2
- cquad
- FinTS
- QRM
- Does market attention affect bitcoin returns and volatility?
- YUIMA
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- HyperbolicDist
- VarianceGamma
- numDeriv
- Rsolnp
- Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- urca
- WeightedPortTest
- copula
- Risk quantification and validation for Bitcoin
- NeuralNetTools
- qrmtools
- mscstexta4r
- fitdistrplus
- Microfit
- spd
- MSC
- DySco
- OrthoPanels
- GAS
- The elements of financial econometrics
- tidyquant
- rBayesianOptimization
- cccp
- gogarch
- rneos
- Conditional value-at-risk: semiparametric estimation and inference
- stochvol
- NLP
- Simulation and Inference for Stochastic Processes with YUIMA
- Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market
- qrng
- POET
- evt0
- GUIDE
- ADGofTest
- Generalized Additive Models for Pair-Copula Constructions
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
- Distributions.jl
- tscount
- acp
- neldermead
- VG_codes
- costat
- rhdfs
- rmr2
- highfrequency
- gamCopula
- gets
- insuranceData
- MSGARCH
- COGARCH.rm
- MLmetrics
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