GEVStableGarch

R package GEVStableGarch: ARMA-GARCH/APARCH Models with GEV and Stable Distributions. Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.

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References in zbMATH (referenced in 2 articles )

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  1. David Ardia; Keven Bluteau; Kris Boudt; Leopoldo Catania; Denis-Alexandre Trottier: Markov-Switching GARCH Models in R: The MSGARCH Package (2019) not zbMATH
  2. Bee, M.; Trapin, L.: A characteristic function-based approach to approximate maximum likelihood estimation (2018)