Cited in
(49)- Mosek.jl
- SamplingRB
- BatchGetSymbols
- Lévy copulae for financial returns
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- BEKKs
- Random autoregressive models: a structured overview
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Estimation and decomposition of food price inflation risk
- Stationary vine copula models for multivariate time series
- Managing risk with a realized copula parameter
- The impact of covariance misspecification in risk-based portfolios
- RATS
- quantmod
- PerformanceAnalytics
- cquad
- ProDenICA
- Rugarch
- MTS
- DySco
- OrthoPanels
- GAS
- fICA
- rvinecopulib
- cccp
- gogarch
- stochvol
- Copula.Markov
- tensorBSS
- betategarch
- RiskPortfolios
- PCA4TS
- freqdom
- ICtest
- tsBSS
- ScoreDrivenModels.jl
- xtserial
- RiskMetrics
- QuEST
- nlshrink
- mgarchBEKK
- ConnectednessApproach
- VIRF
- Analysis of dynamic correlation of Japanese stock returns with network clustering
- glpkAPI
- riskParityPortfolio
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- panelvar
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