68 citations · 168 across the 11 of their papers we have counts for
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q-fin.RM2016★ 16 cited
Value-at-Risk Prediction in R with the GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GA…
stat.CO2016★ 68 cited
Generalized Autoregressive Score Models in R: The GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The disti…