Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models. Contains some aspects of estimating risk distribution from historical changes.
- Christian Fries
Interface Summary Interface Description HistoricalSimulationModelA parametric time series model based on a given times series. TimeSeriesInterface to be implemented by finite time series. TimeSeriesModelParametricA parametric time series model
Class Summary Class Description MarketDataA set of raw data associated with a given date. TimeSeriesFromArrayA discrete time series. TimeSeriesViewA time series created from a sup-interval of another time series.