Menu
  • About & Contact
  • Feedback
  • Contribute
  • Help
  • zbMATH

swMATH

swmath-logo
  • Search
  • Advanced search
  • Browse
  • browse software by name
  • browse software by keywords
  • browse software by MSC
  • browse software by types

urca

urca: Unit root and cointegration tests for time series data. Unit root and cointegration tests encountered in applied econometric analysis are implemented.

Keywords for this software

Anything in here will be replaced on browsers that support the canvas element

  • Black-Litterman model
  • diversification
  • robust optimization
  • entropy pooling
  • drawdown
  • R language
  • copula opinion pooling
  • robust statistics
  • expected shortfall
  • Markowitz model
  • financial risk modeling for equities
  • extreme value theory
  • stock portfolio optimization
  • tactical asset allocation
  • value-at-risk
  • most diversified portfolio
  • NSGA-II
  • exact maximum likelihood estimator
  • value at risk
  • quantile constraints
  • portfolio optimization
  • response surface regression
  • actual portfolios
  • data-driven optimization
  • iterative algorithm
  • GARCH
  • robust unit root test
  • symbolic computation

  • URL: cran.r-project.org/web...
  • InternetArchive
  • Versions: -Info
  • Manual: cran.r-project.org/web...
  • Authors: Bernhard Pfaff; Matthieu Stigler
  • Dependencies: R

  • Add information on this software.


  • Related software:
  • R
  • vars
  • cccp
  • gogarch
  • rneos
  • Rugarch
  • FRAPO
  • car
  • POET
  • quantmod
  • Show more...
  • mleur
  • pomp
  • Mathematica
  • TSA
  • RStudio
  • S-PLUS
  • strucchange
  • sos
  • ctv
  • timeSeries
  • Show less...

References in zbMATH (referenced in 7 articles )

Showing results 1 to 7 of 7.
y Sorted by year (citations)

  1. Fan, Jianqing; Yao, Qiwei: The elements of financial econometrics (2017)
  2. Pfaff, Bernhard: Financial risk modelling and portfolio optimization with R (2016)
  3. Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; Jelic, Ranko: Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (2016)
  4. Çetinkaya, Elçin; Thiele, Aurélie: Data-driven portfolio management with quantile constraints (2015)
  5. Pfaff, Bernhard: Financial risk modelling and portfolio optimization with R (2013)
  6. Zhang, Ying; Yu, Hao; McLeod, A. Ian: Developments in maximum likelihood unit root tests (2013)
  7. Pfaff, Bernhard: Analysis of integrated and cointegrated time series with R. (2006)

  • Article statistics & filter:

  • Search for articles
  • MSC classification / top
    • Top MSC classes
      • 62 Statistics
      • 91 Game theory, economics,...

  • Publication year
    • 2010 - today
    • 2005 - 2009
    • 2000 - 2004
    • before 2000
  • Terms & Conditions
  • Imprint