swMATH13784MaRDI QIDQ25696FDOQ25696
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Official website: https://cran.r-project.org/web/packages/rugarch/index.html
Source code repository: https://github.com/cran/Rugarch
Cited In (only showing first 100 items - show all)
- dLagM
- Does market attention affect bitcoin returns and volatility?
- Jump detection in high-frequency financial data using wavelets
- glogis
- SenTinMixt
- stochvolTMB
- 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
- BEKKs
- 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
- 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
- A mixed bond and equity fund model for the valuation of variable annuities
- Elements of Copula Modeling with R
- panelvar
- Estimation of risk measures in energy portfolios using modern copula techniques
- CAViaR
- tseries
- vars
- DEoptim
- quantmod
- numDeriv
- reshape2
- urca
- NLP
- copula
- CDVine
- ghyp
- VineCopula
- VaR
- fExoticOptions
- fGarch
- PerformanceAnalytics
- RMetrics
- xts
- normalp
- cquad
- FinTS
- QRM
- HyperbolicDist
- Rsolnp
- YUIMA
- VarianceGamma
- WeightedPortTest
- copula
- NeuralNetTools
- qrmtools
- mscstexta4r
- fitdistrplus
- Microfit
- DySco
- MSC
- OrthoPanels
- spd
- GAS
- ADGofTest
- neldermead
- GUIDE
- cccp
- gogarch
- tidyquant
- rBayesianOptimization
- rneos
- stochvol
- qrng
- evt0
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