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 <[email protected]>
LicenseGPL-3
Version0.2
URL https://github.com/emilsjoerup/HARModel
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("HARModel")

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HARModel documentation built on Jan. 24, 2019, 5:04 p.m.