Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi.org/10.1016/j.eneco.2012.03.003>.
| Version: | 0.1.0 |
| Imports: | stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib |
| Published: | 2019-05-01 |
| Author: | Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar |
| Maintainer: | Dr. Ranjit Kumar Paul <ranjitstat at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | no |
| CRAN checks: | VIRF results |
| Reference manual: | VIRF.pdf |
| Package source: | VIRF_0.1.0.tar.gz |
| Windows binaries: | r-devel: VIRF_0.1.0.zip, r-release: VIRF_0.1.0.zip, r-oldrel: VIRF_0.1.0.zip |
| macOS binaries: | r-release (arm64): VIRF_0.1.0.tgz, r-oldrel (arm64): VIRF_0.1.0.tgz, r-release (x86_64): VIRF_0.1.0.tgz, r-oldrel (x86_64): VIRF_0.1.0.tgz |
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