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# CITATION.cff file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "GAS" in publications use:'
type: software
license: GPL-3.0-only
title: 'GAS: Generalized Autoregressive Score Models'
version: 0.4.3
doi: 10.18637/jss.v088.i06
identifiers:
- type: doi
  value: 10.32614/CRAN.package.GAS
abstract: Simulation, estimation and forecasting of univariate and multivariate generalized
  autoregressive score models. Time-varying distributional parameters are updated
  using the score of the conditional distribution, with alternative score scaling
  specifications. Provides maximum likelihood estimation, filtering, density forecasting
  and rolling forecast evaluation for a range of conditional distributions. Includes
  diagnostic tools and methods for evaluating Value-at-Risk and Expected Shortfall
  forecasts. The models and their applications are described in Ardia et al. (2019)
  <https://doi.org/10.18637/jss.v088.i06>.
authors:
- family-names: Catania
  given-names: Leopoldo
  email: leopoldo.catania@econ.au.dk
  orcid: https://orcid.org/0000-0002-0981-1921
preferred-citation:
  type: article
  title: 'Generalized Autoregressive Score Models in R: The GAS Package'
  authors:
  - family-names: Ardia
    given-names: David
    email: david.ardia@unine.ch
  - family-names: Boudt
    given-names: Kris
    email: kris.boudt@vub.ac.be
  - family-names: Catania
    given-names: Leopoldo
    email: leopoldo.catania@econ.au.dk
    orcid: https://orcid.org/0000-0002-0981-1921
  journal: Journal of Statistical Software
  year: '2019'
  volume: '88'
  issue: '6'
  doi: 10.18637/jss.v088.i06
  start: '1'
  end: '28'
repository: https://leopoldocatania.r-universe.dev
repository-code: https://github.com/LeopoldoCatania/GAS
commit: 2c218c22dd305b95e02626755b48c84fe17117ff
url: https://github.com/LeopoldoCatania/GAS
date-released: '2026-10-30'
contact:
- family-names: Catania
  given-names: Leopoldo
  email: leopoldo.catania@econ.au.dk
  orcid: https://orcid.org/0000-0002-0981-1921