Rmetrics Open Source Project: With hundreds of functions built on modern methods, the Rmetrics open source software combines exploratory data analysis, statistical modelling and rapid model prototyping. The R/Rmetrics packages are embedded in R, building an environment which creates a first class system for applications in teaching statistics and finance. Rmetrics covers Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory and Copulae, Pricing of Derivatives, Portfolio Analysis, Design and Optimization, and much more.

References in zbMATH (referenced in 22 articles )

Showing results 1 to 20 of 22.
Sorted by year (citations)

1 2 next

  1. Hušková, Marie; Neumeyer, Natalie; Niebuhr, Tobias; Selk, Leonie: Specification testing in nonparametric AR-ARCH models (2019)
  2. Davis, Richard A.; Drees, Holger; Segers, Johan; Warchoł, Michał: Inference on the tail process with application to financial time series modeling (2018)
  3. Ebner, Bruno; Klar, Bernhard; Meintanis, Simos G.: Fourier inference for stochastic volatility models with heavy-tailed innovations (2018)
  4. Stübinger, Johannes; Endres, Sylvia: Pairs trading with a mean-reverting jump-diffusion model on high-frequency data (2018)
  5. Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher: Statistical arbitrage with vine copulas (2018)
  6. Mirzaei Talarposhti, Fatemeh; Javedani Sadaei, Hossein; Enayatifar, Rasul; Gadelha Guimarães, Frederico; Mahmud, Maqsood; Eslami, Tayyebeh: Stock market forecasting by using a hybrid model of exponential fuzzy time series (2016)
  7. Schlägel, Ulrike E.; Lewis, Mark A.: A framework for analyzing the robustness of movement models to variable step discretization (2016)
  8. Chen, Yining: Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency (2015)
  9. Jiménez-Gamero, M. Dolores; Kim, Hyoung-Moon: Fast goodness-of-fit tests based on the characteristic function (2015)
  10. Matilainen, Markus; Nordhausen, Klaus; Oja, Hannu: New independent component analysis tools for time series (2015)
  11. Arratia, Argimiro: Computational finance. An introductory course with R (2014)
  12. Gilleland, Eric; Ribatet, Mathieu; Stephenson, Alec G.: A software review for extreme value analysis (2013)
  13. Gneiting, Tilmann; Ranjan, Roopesh: Combining predictive distributions (2013)
  14. Honda, Toshio: Nonparametric quantile regression with heavy-tailed and strongly dependent errors (2013)
  15. Rubio, F. J.; Johansen, Adam M.: A simple approach to maximum intractable likelihood estimation (2013)
  16. Araújo Santos, Paulo; Fraga Alves, M. Isabel: A new class of independence tests for interval forecasts evaluation (2012)
  17. Klar, Bernhard; Lindner, Franziska; Meintanis, Simos G.: Specification tests for the error distribution in GARCH models (2012)
  18. Honda, Toshio: Nonparametric density estimation for linear processes with infinite variance (2009)
  19. Christophe Dutang; Vincent Goulet; Mathieu Pigeon: actuar: An R Package for Actuarial Science (2008) not zbMATH
  20. Kleiber, Christian; Zeileis, Achim: Applied econometrics with R (2008)

1 2 next