Man pages for LeopoldoCatania/GAS
Generalized Autoregressive Score Models

BacktestDensityBacktest a series of one-step ahead density predictions.
BacktestVaRBacktest Value at Risk (VaR)
BoundsNumerical bounds imposed in parameters transformation.
ConfidenceBandsBuild confidence bands for the filtered parameters
cpichgData: Quarterly logarithmic change in percentage points of...
DistInfoInformation for the supported distributions
DistributionsDistributions of the GAS package
dji30retdata: Dow Jones 30 Constituents Closing Value Log Return in...
fn.optimA wrapper to the optim function.
fn.solnpA wrapper to the solnp function of the 'Rsolnp' package of...
FZLossFissler and Ziegel (2016) (FZ) joint loss function for Value...
GAS-packageGeneralized Autoregressive Score models in R
Goalsdata: Goals scored by England against Scotland in...
method-plotPlot output from an object of the from the GAS package.
mGASFit-classClass for the Multivariate GAS fitted object
mGASFor-classClass for the Multivariate GAS Forecast object
mGASRoll-classClass for the Multivariate GAS Rolling object
mGASSim-classClass for Multivariate GAS Simulation
mGASSpec-classClass for the Multivariate GAS model specification
MultiGASFitEstimate multivariate GAS models
MultiGASForForecast with multivariate GAS models
MultiGASRollRolling forecast with multivariate GAS models
MultiGASSimSimulate multivariate GAS processes
MultiGASSpecMultivariate GAS specification
MultiMapParametersMapping function for univariate distributions
MultiUnmapParametersInverse of MultiMapParameters
PIT_testGoodness of fit for conditional densities
sp500retData: Daily logarithmic returns in percentage points of the...
sp500rvData: SP500 Daily 5 minutes Realized Volatility from...
StockIndicesData: Daily logarithmic returns in percentage points of the...
tqdataData from Bien et al (2011).
uGASFit-classClass for the univariate GAS fitted object
uGASFor-classClass for the univariate GAS forecast object
uGASRoll-classClass for the univariate GAS rolling object
uGASSim-classClass for Univariate GAS Simulation
uGASSpec-classClass for the univariate GAS model specification
UniGASFitEstimate univariate GAS models
UniGASForForecast with univariate GAS models
UniGASRollRolling forecast with univariate GAS models
UniGASSimSimulate Univariate GAS processes
UniGASSpecUnivariate GAS specification
UniMapParametersMapping function for univariate distributions
UniUnmapParametersUnmapping function for univariate distributions, i.e. inverse...
usunpUS Monthly Civilian Unemployment Rate (UNRATE) from...
LeopoldoCatania/GAS documentation built on Sept. 15, 2018, 2:30 p.m.