BayesBEKK
cranv0.1.1Bayesian Estimation of Bivariate Volatility Model. The Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) models are used for modelling the volatile multivariate data sets. In this package a variant of MGARCH called BEKK (Baba, Engle, Kraft, Kroner) proposed by Engle and Kroner (1995) <http://www.jstor.org/stable/3532933
License GPL-3strong copyleft0 versions1 maintainers3 deps77 weekly dl
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curl https://depscope.dev/api/check/cran/BayesBEKKFirst published · 2022-12-05 15:26:35
Last updated · 2022-12-05T13:12:37+00:00