
GAS
 Referenced in 5 articles
[sw17726]
 ValueatRisk Prediction in R with the GAS Package. GAS models have been recently ... managers can use GAS models for ValueatRisk (VaR) prediction using the novel...

QPsimplex
 Referenced in 4 articles
[sw31751]
 polyhedron. Such problems arise in parametric valueatrisk minimization, portfolio optimization, and robust optimization...

VG_codes
 Referenced in 2 articles
[sw23808]
 found rather limited applications in finance and risk management. One of the reasons is that ... closed form and is unbounded for small values of the shape parameter. Moreover, we study ... squarederror, for both parameter and valueatrisk estimation. The performance of the routines...

TailRiskScenGen.jl
 Referenced in 1 article
[sw36147]
 risk measure such as the conditional valueatrisk. For problems involving tail risk measure...

evt0
 Referenced in 1 article
[sw21094]
 Compute high quantile or valueatrisk (VaR) based on above EVI estimates...

FatTailsR
 Referenced in 0 articles
[sw15469]
 high accuracy distribution parameters, quantiles, valueatrisk and expected shortfall. Include power hyperbolas...

Cuba
 Referenced in 60 articles
[sw00173]
 Cuba  a library for multidimensional numerical integration. The...

EVIM
 Referenced in 10 articles
[sw00255]
 EVIM: a software package for extremel value analysis...

LANCELOT
 Referenced in 304 articles
[sw00500]
 LANCELOT. A Fortran package for largescale nonlinear...

Mathematica
 Referenced in 6075 articles
[sw00554]
 Almost any workflow involves computing results, and that...

Matlab
 Referenced in 12557 articles
[sw00558]
 MATLAB® is a highlevel language and interactive...

R
 Referenced in 8776 articles
[sw00771]
 R is a language and environment for statistical...

SNDlib
 Referenced in 70 articles
[sw00884]
 SNDlib is a library of test instances for...

XploRe
 Referenced in 59 articles
[sw01128]
 XploRe is the name of a commercial statistics...

Snow
 Referenced in 20 articles
[sw01447]
 Snow: A parallel computing framework for the R...

ASYNPLEX
 Referenced in 8 articles
[sw02174]
 This paper describes ASYNPLEX, an asynchronous variant of...

SLPIOR
 Referenced in 33 articles
[sw02553]
 SLPIOR is a model management system for...

MCS
 Referenced in 9 articles
[sw02814]
 MCSa new algorithm for multicriteria optimisation in...

SPLUS
 Referenced in 602 articles
[sw02892]
 SPLUS is a powerful environment for statistical...

AMPL
 Referenced in 598 articles
[sw04001]
 AMPL is a comprehensive and powerful algebraic modeling...