RMetrics
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Software:21968
swMATH9991MaRDI QIDQ21968FDOQ21968
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Cited In (37)
- Statistical arbitrage with vine copulas
- Finite-sample properties of estimators for first and second order autoregressive processes
- Fast goodness-of-fit tests based on the characteristic function
- Fractional Erlang queues
- A method to estimate power parameter in exponential power distribution via polynomial regression
- Graphical comparison of normality tests for unimodal distribution data
- Preprocessing of centred logratio transformed density functions using smoothing splines
- Specification tests for the error distribution in GARCH models
- A simple approach to maximum intractable likelihood estimation
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Nonparametric density estimation for linear processes with infinite variance
- Inference on the tail process with application to financial time series modeling
- Testing for correlation between two time series using a parametric bootstrap
- Interval forecasts based on regression trees for streaming data
- A framework for analyzing the robustness of movement models to variable step discretization
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- A new class of independence tests for interval forecasts evaluation
- Applied Econometrics with R
- New independent component analysis tools for time series
- Nonparametric quantile regression with heavy-tailed and strongly dependent errors
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
- A software review for extreme value analysis
- On automatic bias reduction for extreme expectile estimation
- Testing for Serial Independence: Beyond the Portmanteau Approach
- Robust analogs to the coefficient of variation
- Combining predictive distributions
- Specification testing in nonparametric AR‐ARCH models
- Blind source separation for compositional time series
- Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency
- An introduction to analysis of financial data with R.
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
- Conditional empirical copula processes and generalized measures of association
- On the efficacy of stop-loss rules in the presence of overnight gaps
- A Bayesian approach for estimating the parameters of an α-stable distribution
- Computational finance. An introductory course with R
- Stock market forecasting by using a hybrid model of exponential fuzzy time series
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