
bvarsv
 Referenced in 90 articles
[sw11023]
 Vector Autoregressive Model with Stochastic Volatility and TimeVarying Parameters. R/C++ implementation of the model...

CreditRisk+
 Referenced in 43 articles
[sw31697]
 continuous random variables and incorporates the volatility of default rates in order to capture ... Model through the use of default rate volatilities and sector analysis rather than using default...

RMetrics
 Referenced in 31 articles
[sw09991]
 Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value Theory and Copulae, Pricing...

stochvol
 Referenced in 17 articles
[sw19383]
 package stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models. Efficient algorithms for fully Bayesian ... estimation of stochastic volatility (SV) models via Markov chain Monte Carlo (MCMC) methods...

XtremWeb
 Referenced in 22 articles
[sw11411]
 domains deployments. XtremWeb turns a set of volatile resources spread over LAN or Internet into...

MTS
 Referenced in 5 articles
[sw15485]
 Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models. Multivariate Time Series ... multivariate linear time series and estimating multivariate volatility models. It also handles factor models, constrained ... used in finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear ... Scalar Component Models. (b) For multivariate volatility modeling, the MTS package handles several commonly used...

Goldilocks
 Referenced in 10 articles
[sw12806]
 transactions in addition to locks and volatile variables for synchronization. We present a precise...

PAMR
 Referenced in 10 articles
[sw15437]
 nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading...

rSGDLM
 Referenced in 10 articles
[sw34467]
 Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models...

NDSolve
 Referenced in 5 articles
[sw18630]
 Option valuation under stochastic volatility II. With Mathematica code. The monograph continues previous work ... author in [Option valuation under stochastic volatility. With Mathematica code. Newport Beach, CA: Finance Press ... treated derivatives of securities with stochastic volatility particularly two dimensional diffusions. Volume II investigates several ... jump diffusion. However, the material ranges from volatility smile to discrete dividends to statistical inference...

USGS Spectral Library
 Referenced in 6 articles
[sw22856]
 including mixtures of liquids, water and other volatiles, and frozen volatiles; Organic compounds, including biochemical...

GHICA
 Referenced in 7 articles
[sw25996]
 generalized hyperbolic (GH) distributional framework. For the volatility estimation of each IC, the local exponential...

FATKit
 Referenced in 3 articles
[sw08822]
 analysis of digital forensic data from volatile system memory. We present the Forensic Analysis ToolKit ... framework that increases the practical applicability of volatile memory forensic analysis by freeing human analysts...

EmmPack
 Referenced in 2 articles
[sw09500]
 with ox for estimation of univariate stochastic volatility models with the efficient method of moments ... method of moments implemented to estimate stochastic volatility models, this will surely be the case ... broad range of univariate stochastic volatility models. As a side effect of the efficient method ... moments for this specific case of stochastic volatility models, and it describes the program. Some...

CVXPortfolio
 Referenced in 4 articles
[sw26998]
 asset bidask spread, volume, and volatility. CVXPortfolio provides functionality for implementing trading strategies using...

JaceV
 Referenced in 2 articles
[sw30936]
 Execution Environment for Asynchronous Iterative Computations on Volatile Nodes. In this paper we present JaceV ... computation nodes) and execute them in a volatile environment. We describe the components ... execution of an iterative application with volatile nodes...

RTAQ
 Referenced in 2 articles
[sw10088]
 trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among ... quotes data, calculate ex post liquidity and volatility measures and detect price jumps...

VolpexMPI
 Referenced in 2 articles
[sw33353]
 Library for Execution of Parallel Applications on Volatile Nodes. The objective of this research ... employed to provide robustness in such volatile environments. The central challenge in VolpexMPI design...

EXPLODE
 Referenced in 3 articles
[sw17447]
 matter how their state was smeared across volatile and persistent memory. This paper describes EXPLODE...

qrmdata
 Referenced in 3 articles
[sw31256]
 data, FX, zerocoupon bond yield curves, volatility, commodities) for Quantitative Risk Management practice...