GAS-package | Generalized Autoregressive Score models in R |
BacktestDensity | Backtest a series of one step ahead density predictions. |
BacktestVaR | Backtest Value at Risk (VaR) |
build_mR | Mapping function for univariate distributions |
coef-method | class: Class for the Multivariate GAS fitted object |
coef-method | class: Class for Multivariate GAS Simulation |
coef-method | class: Class for the Univariate GAS fitted object |
coef-method | class: Class for Univariate GAS Simulation |
ConfidenceBands | Build confidence bands for the filtered parameters |
cpichg | data: Quarterly logarithmic change in percentage points of the Consumer Price Index for All Urban Consumers: All Items (CPIAUCSL) from 1947-04-01 to 2016-05-01 |
ddist_multi | Distributions of the GAS package. |
ddist_univ | Distributions of the GAS package. |
DistInfo | Information for the supported distributions |
DistLabels | Information for the supported distributions |
DistName | Information for the supported distributions |
DistParameters | Information for the supported distributions |
distributions | Distributions of the GAS package. |
DistScalingType | Information for the supported distributions |
DistType | Information for the supported distributions |
dji30ret | data: Dow Jones 30 Constituents Closing Value Log Return |
GAS | Generalized Autoregressive Score models in R |
getFilteredParameters | class: Class for the Univariate GAS fitted object |
getFilteredParameters-method | class: Class for the Multivariate GAS fitted object |
getFilteredParameters-method | class: Class for Multivariate GAS Simulation |
getFilteredParameters-method | class: Class for the Univariate GAS fitted object |
getFilteredParameters-method | class: Class for Univariate GAS Simulation |
getForecast | class: Class for the Univariate GAS Rolling object |
getForecast-method | class: Class for the Multivariate GAS Forecast object |
getForecast-method | class: Class for the Multivariate GAS Rolling object |
getForecast-method | class: Class for the Univariate GAS Forecast object |
getForecast-method | class: Class for the Univariate GAS Rolling object |
getMoments | class: Class for the Univariate GAS fitted object |
getMoments-method | class: Class for the Multivariate GAS fitted object |
getMoments-method | class: Class for the Multivariate GAS Forecast object |
getMoments-method | class: Class for the Multivariate GAS Rolling object |
getMoments-method | class: Class for Multivariate GAS Simulation |
getMoments-method | class: Class for the Univariate GAS fitted object |
getMoments-method | class: Class for the Univariate GAS Forecast object |
getMoments-method | class: Class for the Univariate GAS Rolling object |
getMoments-method | class: Class for Univariate GAS Simulation |
getObs | class: Class for the Univariate GAS fitted object |
getObs-method | class: Class for the Multivariate GAS fitted object |
getObs-method | class: Class for Multivariate GAS Simulation |
getObs-method | class: Class for the Univariate GAS fitted object |
getObs-method | class: Class for the Univariate GAS Forecast object |
getObs-method | class: Class for the Univariate GAS Rolling object |
getObs-method | class: Class for Univariate GAS Simulation |
IM_univ | Distributions of the GAS package. |
LogScore | class: Class for the Univariate GAS Rolling object |
LogScore-method | class: Class for the Multivariate GAS Forecast object |
LogScore-method | class: Class for the Multivariate GAS Rolling object |
LogScore-method | class: Class for the Univariate GAS Forecast object |
LogScore-method | class: Class for the Univariate GAS Rolling object |
LowerA | Numerical bounds imposed in parameter transformation. |
LowerB | Numerical bounds imposed in parameter transformation. |
LowerNu | Numerical bounds imposed in parameter transformation. |
mdist_univ | Distributions of the GAS package. |
mGASFit | class: Class for the Multivariate GAS fitted object |
mGASFit-class | class: Class for the Multivariate GAS fitted object |
mGASFor | class: Class for the Multivariate GAS Forecast object |
mGASFor-class | class: Class for the Multivariate GAS Forecast object |
mGASRoll | class: Class for the Multivariate GAS Rolling object |
mGASRoll-class | class: Class for the Multivariate GAS Rolling object |
mGASSim | class: Class for Multivariate GAS Simulation |
mGASSim-class | class: Class for Multivariate GAS Simulation |
mGASSpec | class: Class for the Multivariate GAS model specification |
mGASSpec-class | 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 |
NumberParameters | Information for the supported distributions |
NumericalBounds | Numerical bounds imposed in parameter transformation. |
pdist_univ | Distributions of the GAS package. |
pit | class: Class for the Univariate GAS fitted object |
pit-method | class: Class for the Univariate GAS fitted object |
pit-method | class: Class for the Univariate GAS Forecast object |
pit-method | class: Class for the Univariate GAS Rolling object |
PIT_test | Goodness of Fit for Conditional Densities |
plot-method | class: Class for the Multivariate GAS fitted object |
plot-method | class: Class for the Multivariate GAS Forecast object |
plot-method | class: Class for the Multivariate GAS Rolling object |
plot-method | class: Class for Multivariate GAS Simulation |
plot-method | class: Class for the Univariate GAS fitted object |
plot-method | class: Class for the Univariate GAS Forecast object |
plot-method | class: Class for the Univariate GAS Rolling object |
plot-method | class: Class for Univariate GAS Simulation |
qdist_univ | Distributions of the GAS package. |
quantile-method | class: Class for the Univariate GAS fitted object |
quantile-method | class: Class for the Univariate GAS Forecast object |
quantile-method | class: Class for the Univariate GAS Rolling object |
quantile-method | class: Class for Univariate GAS Simulation |
Quantiles | Distributions of the GAS package. |
rdist_multi | Distributions of the GAS package. |
rdist_univ | Distributions of the GAS package. |
rmvt_mat | Distributions of the GAS package. |
Score_multi | Distributions of the GAS package. |
Score_univ | Distributions of the GAS package. |
show-method | class: Class for the Multivariate GAS fitted object |
show-method | class: Class for the Multivariate GAS Forecast object |
show-method | class: Class for the Multivariate GAS Rolling object |
show-method | class: Class for Multivariate GAS Simulation |
show-method | class: Class for the Multivariate GAS model specification |
show-method | class: Class for the Univariate GAS fitted object |
show-method | class: Class for the Univariate GAS Forecast object |
show-method | class: Class for the Univariate GAS Rolling object |
show-method | class: Class for Univariate GAS Simulation |
show-method | class: Class for the Univariate GAS model specification |
sp500ret | data: Daily logarithmic returns in percentage points of the S&P500 index from 1950-01-04 to 2016-06-24 |
sp500rv | data: SP500 Daily 5 minutes Realized Volatility from 2000-01-03 to 2000-01-10 |
StockIndices | data: Daily logarithmic returns in percentage points of the DAX, FTSEMIB and CAC40 from 2007-01-03 to 2016-06-24 |
tqdata | data: Data from Bien et al (2011). |
uGASFit | class: Class for the Univariate GAS fitted object |
uGASFit-class | class: Class for the Univariate GAS fitted object |
uGASFor | class: Class for the Univariate GAS Forecast object |
uGASFor-class | class: Class for the Univariate GAS Forecast object |
uGASRoll | class: Class for the Univariate GAS Rolling object |
uGASRoll-class | class: Class for the Univariate GAS Rolling object |
uGASSim | class: Class for Univariate GAS Simulation |
uGASSim-class | class: Class for Univariate GAS Simulation |
uGASSpec | class: Class for the Univariate GAS model specification |
uGASSpec-class | 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 of UniMapParameters |
UnMapR_C | Inverse of MultiMapParameters |
UpperA | Numerical bounds imposed in parameter transformation. |
UpperB | Numerical bounds imposed in parameter transformation. |
UpperNu | Numerical bounds imposed in parameter transformation. |
usunp | data: US Monthly Civilian Unemployment Rate (UNRATE) from 1948-01-01 to 2016-05-01 |