HARModel: Heterogeneous Autoregressive Models

Estimation, simulation, and forecasting using the HAR model from Corsi(2009) <DOI:10.1093/jjfinec/nbp001> and extensions.

Package details

AuthorEmil Sjoerup
MaintainerEmil Sjoerup <emilsjoerup@live.dk>
URL https://github.com/emilsjoerup/HARModel
Package repositoryView on CRAN
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HARModel documentation built on Aug. 31, 2019, 5:05 p.m.