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Rugarch

R package rugarch: Univariate GARCH Models. ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Keywords for this software

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  • value at risk
  • expected shortfall
  • GARCH
  • time series
  • semiparametric methods
  • regime switching
  • IGARCH
  • NSGA-II
  • EGARCH
  • TGARCH
  • TARCH
  • CTGARCH
  • copula
  • leverage effect
  • portfolio optimization
  • ARCH
  • extremal index
  • parametric distributions
  • risk management
  • conditional expected shortfall
  • international market
  • Monte Carlo evaluations
  • CGARCH
  • quantile correlations
  • APARCH
  • quantile regression
  • joint extremal behavior
  • actual portfolios
  • conditional Value-at-Risk
  • statistical dependencies

  • URL: cran.r-project.org/web...
  • InternetArchive
  • Versions: -Info
  • Manual: cran.r-project.org/web...
  • Authors: Alexios Ghalanos
  • Dependencies: R

  • Add information on this software.


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  • VaRES
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References in zbMATH (referenced in 9 articles )

Showing results 1 to 9 of 9.
y Sorted by year (citations)

  1. Fan, Jianqing; Yao, Qiwei: The elements of financial econometrics (2017)
  2. Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An R package for value at risk and expected shortfall (2016)
  3. Gurgul, Henryk; Machno, Artur: Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach (2016)
  4. Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; Jelic, Ranko: Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (2016)
  5. Wang, Chuan-Sheng; Zhao, Zhibiao: Conditional Value-at-Risk: semiparametric estimation and inference (2016)
  6. Ehlert, Andree; Fiebig, Ulf-Rainer; Janßen, Anja; Schlather, Martin: Joint extremal behavior of hidden and observable time series with applications to GARCH processes (2015)
  7. Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, Thomas: Quantile correlations: uncovering temporal dependencies in financial time series (2015)
  8. Elatraby, Amr Ibrahim Abdelrahman; Elwaqdy, Ahmed Fathy Abdelaal: Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market (2014)
  9. Mauro Bernardi, Leopoldo Catania: The Model Confidence Set package for R (2014) arXiv

  • Article statistics & filter:

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  • MSC classification / top
    • Top MSC classes
      • 60 Probability theory and...
      • 62 Statistics
      • 65 Numerical analysis
      • 91 Game theory, economics,...

  • Publication year
    • 2010 - today
    • 2005 - 2009
    • 2000 - 2004
    • before 2000
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