To cite package 'GAS' in publications use:

Catania, L., Boudt, K., Ardia, D. (2016). GAS: Generalized Autoregressive Score Models. R package. URL https://CRAN.R-project.org/package=GAS

Ardia, D., Boudt, K., Catania, L. (2016a). Generalized autoregressive score models in R: The GAS package. Working paper. https://ssrn.com/abstract=2825380

Ardia, D., Boudt, K., Catania, L. (2016b). Value-at-Risk prediction in R with the GAS package. Working paper. https://ssrn.com/abstract=2871444

Corresponding BibTeX entries:

  @Manual{,
    title = {GAS: Generalized Autoregressive Score Models},
    author = {Leopoldo Catania and Kris Boudt and David Ardia},
    year = {2017},
    note = {R package version 0.2.5},
    url = {https://CRAN.R-project.org/package=GAS},
  }

  @Article{,
    title = {GAS: Generalized Autoregressive Score Models in R},
    author = {David Ardia and Kris Boudt and Leopoldo Catania},
    year = {2016},
    journal = {Working paper},
    url = {https://ssrn.com/abstract=2825380},
  }

  @Article{,
    title = {Value-at-Risk prediction in R with the GAS package},
    author = {David Ardia and Kris Boudt and Leopoldo Catania},
    year = {2016},
    journal = {Working paper},
    url = {https://ssrn.com/abstract=2871444},
  }