Rugarch
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Software:25696
swMATH13784MaRDI QIDQ25696FDOQ25696
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Source code repository: https://github.com/cran/Rugarch
Cited In (47)
- ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION
- On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
- Does market attention affect bitcoin returns and volatility?
- Jump detection in high-frequency financial data using wavelets
- Modeling Influenza-Like Illness Activity in the United States
- An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Machine Learning Using R
- 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
- Title not available (Why is that?)
- Dichotomous unimodal compound models: application to the distribution of insurance losses
- CD-vine model for capturing complex dependence
- Data Breach CAT Bonds: Modeling and Pricing
- Compound unimodal distributions for insurance losses
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Random autoregressive models: A structured overview
- 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
- Title not available (Why is that?)
- 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
- Importance Sampling and Stratification for Copula Models
- Testing for correlation between two time series using a parametric bootstrap
- 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
- A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES
- Maximum likelihood estimation of skew-t copulas with its applications to stock returns
- Generalized Additive Models for Pair-Copula Constructions
- An R Package for Value at Risk and Expected Shortfall
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Optimal forecasting accuracy using Lp-norm combination
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- Vulnerability-CoVaR: investigating the crypto-market
- 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
- Likelihood-based risk estimation for variance-gamma models
- Elements of Copula Modeling with R
- Estimation of risk measures in energy portfolios using modern copula techniques
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