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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References in zbMATH (referenced in 7 articles )

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

  1. Fan, Jianqing; Yao, Qiwei: The elements of financial econometrics (2017)
  2. Gurgul, Henryk; Machno, Artur: Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach (2016)
  3. Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; Jelic, Ranko: Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (2016)
  4. Wang, Chuan-Sheng; Zhao, Zhibiao: Conditional Value-at-Risk: semiparametric estimation and inference (2016)
  5. Ehlert, Andree; Fiebig, Ulf-Rainer; Janßen, Anja; Schlather, Martin: Joint extremal behavior of hidden and observable time series with applications to GARCH processes (2015)
  6. Schmitt, Thilo A.; Schäfer, Rudi; Dette, Holger; Guhr, Thomas: Quantile correlations: uncovering temporal dependencies in financial time series (2015)
  7. 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)