• GAS

  • Referenced in 2 articles [sw17726]
  • Value-at-Risk Prediction in R with the GAS Package. GAS models have been recently ... managers can use GAS models for Value-at-Risk (VaR) prediction using the novel...
  • evt0

  • Referenced in 1 article [sw21094]
  • Compute high quantile or value-at-risk (VaR) based on above EVI estimates...
  • VG_codes

  • Referenced in 1 article [sw23808]
  • found rather limited applications in finance and risk management. One of the reasons is that ... closed form and is unbounded for small values of the shape parameter. Moreover, we study ... squared-error, for both parameter and value-at-risk estimation. The performance of the routines...
  • FatTailsR

  • Referenced in 0 articles [sw15469]
  • high accuracy distribution parameters, quantiles, value-at-risk and expected shortfall. Include power hyperbolas...
  • Cuba

  • Referenced in 46 articles [sw00173]
  • Cuba -- a library for multidimensional numerical integration. The...
  • EVIM

  • Referenced in 9 articles [sw00255]
  • EVIM: a software package for extremel value analysis...
  • LANCELOT

  • Referenced in 263 articles [sw00500]
  • LANCELOT. A Fortran package for large-scale nonlinear...
  • Mathematica

  • Referenced in 5178 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 10365 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • R

  • Referenced in 6475 articles [sw00771]
  • R is a language and environment for statistical...
  • SNDlib

  • Referenced in 59 articles [sw00884]
  • SNDlib is a library of test instances for...
  • XploRe

  • Referenced in 54 articles [sw01128]
  • XploRe is the name of a commercial statistics...
  • Snow

  • Referenced in 16 articles [sw01447]
  • Snow: A parallel computing framework for the R...
  • ASYNPLEX

  • Referenced in 8 articles [sw02174]
  • This paper describes ASYNPLEX, an asynchronous variant of...
  • MCS

  • Referenced in 9 articles [sw02814]
  • MCS---a new algorithm for multicriteria optimisation in...
  • S-PLUS

  • Referenced in 509 articles [sw02892]
  • S-PLUS is a powerful environment for statistical...
  • AMPL

  • Referenced in 533 articles [sw04001]
  • AMPL is a comprehensive and powerful algebraic modeling...
  • SeDuMi

  • Referenced in 982 articles [sw04002]
  • SeDuMi is a Matlab toolbox for solving optimization...