• STAMP

  • Referenced in 43 articles [sw09536]
  • component time series models. Such models find application in many subjects, including economics, finance, sociology ... necessary tool to make interactive structural time series modelling available for empirical work. Another such...
  • RMetrics

  • Referenced in 30 articles [sw09991]
  • exploratory data analysis, statistical modelling and rapid model prototyping. The R/Rmetrics packages are embedded ... statistics and finance. Rmetrics covers Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting...
  • fArma

  • Referenced in 4 articles [sw09992]
  • fArma: ARMA Time Series Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • MTS

  • Referenced in 5 articles [sw15485]
  • time series and estimating multivariate volatility models. It also handles factor models, constrained factor models ... finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear time series ... analysis, the package performs model specification, estimation, model checking, and prediction for many widely used...
  • E&F Chaos

  • Referenced in 15 articles [sw00233]
  • standard numerical simulation techniques such as time series, phase plots, bifurcation diagrams, Lyapunov exponent plots ... many well-known nonlinear models, including applications in economics and finance, and is easy...
  • STSA

  • Referenced in 1 article [sw20186]
  • parametric models that can be used in forecasting nonlinear time series. And, in the SPECTRAL ... forecasting long-memory time series, a class of time series that is encountered in such ... finance. The BAYES directory includes functions for Bayesian modeling and forecasting of time series that...
  • fSeries

  • Referenced in 1 article [sw15175]
  • model univariate autoregressive moving average time series processes, including time series simulation, parameter estimation, diagnostic...
  • NDSolve

  • Referenced in 5 articles [sw18630]
  • emphasizes the mathematical and computational aspects of finance for an audience in academia and industry ... dimensional diffusions. Volume II investigates several models for various options with jump diffusion. However ... discrete dividends to statistical inference for time series. Examples are grounded in data such...
  • Algorithm 963

  • Referenced in 2 articles [sw23698]
  • estimation method suitable for models commonly used in quantitative finance. The Continuum-Generalized Method ... version, called the CMM, on simulated time series to check the recovery of the parameters ... also applied CMM to two stochastic covariance models, the Wishart Affine Stochastic Correlation (WASC) model...
  • partialCI

  • Referenced in 0 articles [sw19747]
  • modeling certain sets of financial time series and beyond, as it allows for the spread ... testing, and simulation routines for partial cointegration models in state space. Clegg ... illustrating examples in the fields of finance and macroeconomics...
  • ADOL-C

  • Referenced in 242 articles [sw00019]
  • ADOL-C: Automatic Differentiation of C/C++. We present...
  • DEA

  • Referenced in 242 articles [sw00194]
  • Data Envelopment Analysis (DEA) is becoming an increasingly...
  • LSQR

  • Referenced in 368 articles [sw00530]
  • Algorithm 583: LSQR: Sparse Linear Equations and Least...
  • Maple

  • Referenced in 5168 articles [sw00545]
  • The result of over 30 years of cutting...
  • Mathematica

  • Referenced in 6041 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 12477 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • mclust

  • Referenced in 267 articles [sw00563]
  • R package mclust: Normal Mixture Modeling for Model...
  • NAG

  • Referenced in 419 articles [sw00610]
  • Produced by experts for use in a variety...
  • R

  • Referenced in 8728 articles [sw00771]
  • R is a language and environment for statistical...
  • SUNDIALS

  • Referenced in 220 articles [sw00927]
  • SUNDIALS was implemented with the goal of providing...