Rugarch

swMATH13784MaRDI QIDQ25696FDOQ25696

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Source code repository: https://github.com/cran/Rugarch

Cited In (47)

• Does market attention affect bitcoin returns and volatility?
• Jump detection in high-frequency financial data using wavelets
• Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• Dichotomous unimodal compound models: application to the distribution of insurance losses
• CD-vine model for capturing complex dependence
• Compound unimodal distributions for insurance losses
• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Simulation and Inference for Stochastic Processes with YUIMA
• Random matrix application to correlations amongst the volatility of assets
• Market risk management in a post-Basel II regulatory environment
• Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
• Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach
• Conditional value-at-risk: semiparametric estimation and inference
• Modeling influenza-like illness activity in the United States
• Analyzing mortality bond indexes via hierarchical forecast reconciliation
• On the dependence structure between S\&P500, VIX and implicit interexpectile differences
• Testing for correlation between two time series using a parametric bootstrap
• Machine learning using R. With time series and industry-based use cases in R
• Interval forecasts based on regression trees for streaming data
• Estimation and decomposition of food price inflation risk
• Linking Tukey's legacy to financial risk measurement
• Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market
• An extension of spatial dependence models for estimating short-term temperature portfolio risk
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Generalized Additive Models for Pair-Copula Constructions
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Optimal forecasting accuracy using Lp-norm combination
• Data breach CAT bonds: modeling and pricing
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• Vulnerability-CoVaR: investigating the crypto-market
• The elements of financial econometrics
• Random autoregressive models: a structured overview
• Volatility forecasting accuracy for Bitcoin
• Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework
• Stationary vine copula models for multivariate time series
• Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
• Risk quantification and validation for Bitcoin
• QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
• Importance sampling and stratification for copula models
• An \texttt{R} package for value at risk and expected shortfall
• Likelihood-based risk estimation for variance-gamma models
• A mixed bond and equity fund model for the valuation of variable annuities
• Elements of Copula Modeling with R
• Estimation of risk measures in energy portfolios using modern copula techniques

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