Rugarch
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Software:25696
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Source code repository: https://github.com/cran/Rugarch
Related Items (47)
Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach ⋮ Jump detection in high-frequency financial data using wavelets ⋮ Vulnerability-CoVaR: investigating the crypto-market ⋮ Estimation of risk measures in energy portfolios using modern copula techniques ⋮ Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ Simulation and Inference for Stochastic Processes with YUIMA ⋮ Conditional value-at-risk: semiparametric estimation and inference ⋮ QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES ⋮ Modeling returns volatility: realized GARCH incorporating realized risk measure ⋮ Random autoregressive models: A structured overview ⋮ Estimation and decomposition of food price inflation risk ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ Linking Tukey's legacy to financial risk measurement ⋮ Optimal forecasting accuracy using Lp-norm combination ⋮ Compound unimodal distributions for insurance losses ⋮ Risk quantification and validation for Bitcoin ⋮ Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso ⋮ Importance Sampling and Stratification for Copula Models ⋮ Modeling Influenza-Like Illness Activity in the United States ⋮ Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach ⋮ Likelihood-based risk estimation for variance-gamma models ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Market risk management in a post-Basel II regulatory environment ⋮ Model assessment for time series dynamics using copula spectral densities: a graphical tool ⋮ Elements of Copula Modeling with R ⋮ Stationary vine copula models for multivariate time series ⋮ An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk ⋮ An R Package for Value at Risk and Expected Shortfall ⋮ Interval forecasts based on regression trees for streaming data ⋮ On the dependence structure between S&P500, VIX and implicit Interexpectile Differences ⋮ Maximum likelihood estimation of skew-t copulas with its applications to stock returns ⋮ ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION ⋮ Generalized Additive Models for Pair-Copula Constructions ⋮ Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models ⋮ Unnamed Item ⋮ Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume ⋮ Machine Learning Using R ⋮ Volatility forecasting accuracy for Bitcoin ⋮ Does market attention affect bitcoin returns and volatility? ⋮ Random matrix application to correlations amongst the volatility of assets ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes ⋮ CD-vine model for capturing complex dependence ⋮ Dichotomous unimodal compound models: application to the distribution of insurance losses ⋮ Testing for correlation between two time series using a parametric bootstrap ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Unnamed Item
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