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