68 citations · 98 across the 10 of their papers we have counts for
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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…
stat.CO2016★ 4 cited
Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package
Leopoldo Catania, Nima Nonejad
Raftery, Karny, and Ettler (2010) introduce an estimation technique, which they refer to as Dynamic Model Averaging (DMA). In their application, DMA is used to predict the output s…
stat.CO2015★ 1 cited
Comparison of Value-at-Risk models: the MCS package
Mauro Bernardi, Leopoldo Catania
This paper compares the Value--at--Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et…