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GAS: Generalized Autoregressive Score Models
Simulate, estimate and forecast using univariate and multivariate GAS models as described in Ardia et al. (2019) <doi:10.18637/jss.v088.i06>.
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Package details |
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| Author | Leopoldo Catania [aut, cre] (<https://orcid.org/0000-0002-1000-5142>), David Ardia [ctb] (<https://orcid.org/0000-0003-2823-782X>), Kris Boudt [ctb] (<https://orcid.org/0000-0002-1000-5142>) |
| Maintainer | Leopoldo Catania <leopoldo.catania@econ.au.dk> |
| License | GPL-3 |
| Version | 0.3.4 |
| URL | https://github.com/LeopoldoCatania/GAS |
| Package repository | View on CRAN |
| Installation |
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