BacktestDensity | Backtest a series of one-step ahead density predictions. |
BacktestVaR | Backtest Value at Risk (VaR) |
Bounds | Numerical bounds imposed in parameters transformation. |
ConfidenceBands | Build confidence bands for the filtered parameters |
cpichg | Data: Quarterly logarithmic change in percentage points of... |
DistInfo | Information for the supported distributions |
Distributions | Distributions of the GAS package |
dji30ret | data: Dow Jones 30 Constituents Closing Value Log Return in... |
fn.optim | A wrapper to the optim function. |
fn.solnp | A wrapper to the solnp function of the 'Rsolnp' package of... |
FZLoss | Fissler and Ziegel (2016) (FZ) joint loss function for Value... |
GAS-package | Generalized Autoregressive Score models in R |
Goals | data: Goals scored by England against Scotland in... |
method-plot | Plot output from an object of the from the GAS package. |
mGASFit-class | Class for the Multivariate GAS fitted object |
mGASFor-class | Class for the Multivariate GAS Forecast object |
mGASRoll-class | Class for the Multivariate GAS Rolling object |
mGASSim-class | Class for Multivariate GAS Simulation |
mGASSpec-class | Class for the Multivariate GAS model specification |
MultiGASFit | Estimate multivariate GAS models |
MultiGASFor | Forecast with multivariate GAS models |
MultiGASRoll | Rolling forecast with multivariate GAS models |
MultiGASSim | Simulate multivariate GAS processes |
MultiGASSpec | Multivariate GAS specification |
MultiMapParameters | Mapping function for univariate distributions |
MultiUnmapParameters | Inverse of MultiMapParameters |
PIT_test | Goodness of fit for conditional densities |
sp500ret | Data: Daily logarithmic returns in percentage points of the... |
sp500rv | Data: SP500 Daily 5 minutes Realized Volatility from... |
StockIndices | Data: Daily logarithmic returns in percentage points of the... |
tqdata | Data from Bien et al (2011). |
uGASFit-class | Class for the univariate GAS fitted object |
uGASFor-class | Class for the univariate GAS forecast object |
uGASRoll-class | Class for the univariate GAS rolling object |
uGASSim-class | Class for Univariate GAS Simulation |
uGASSpec-class | Class for the univariate GAS model specification |
UniGASFit | Estimate univariate GAS models |
UniGASFor | Forecast with univariate GAS models |
UniGASRoll | Rolling forecast with univariate GAS models |
UniGASSim | Simulate Univariate GAS processes |
UniGASSpec | Univariate GAS specification |
UniMapParameters | Mapping function for univariate distributions |
UniUnmapParameters | Unmapping function for univariate distributions, i.e. inverse... |
usunp | US Monthly Civilian Unemployment Rate (UNRATE) from... |
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