Downside risk evaluation with the R package GAS
David Ardia, Kris Boudt & Leopoldo Catania
| Abstract |
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| Keywords |
GAS, Time Series Models, Score Models, Dynamic Conditional Score, Risk Management, VaR, R Software |
| Citation | Ardia, D., Boudt, K., & Catania, L. (2018). Downside risk evaluation with the R package GAS. R Journal, 10(2), 410-421. |
| Type | Journal article (English) |
| Date of appearance | 2018 |
| Journal | R Journal |
| Volume | 10 |
| Issue | 2 |
| Pages | 410-421 |
| URL | http://dx.doi.org/10.32614/RJ-2018-064 |