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Found 2 Software Packages (Results 1–2)

CAViaR

Software Authors:   Robert F Engle; Simone Manganelli
Referenced in: 194 Publications (2001–2022)
Related Software: QRM; RiskMetrics; Dowd; R; quantilogram; BayesDA; …
Main Fields: Probability theory and stochastic processes (60-XX); Statistics (62-XX); Numerical analysis (65-XX)

TailRiskScenGen.jl

Software Authors:   Fairbrother J
Referenced in: 2 Publications (2018–2022)
Related Software: GitHub; JuMP; SUTIL; Ipopt; Gurobi
Main Fields: Operations research, mathematical programming (90-XX); Game theory, economics, finance, and other social and behavioral sciences (91-XX)