VIRF: Computation of Volatility Impulse Response Function of Multivariate Time Series

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>.

Getting started

Package details

AuthorDr. Ranjit Kumar Paul and Mr. Ankit Tanwar
MaintainerDr. Ranjit Kumar Paul <[email protected]>
LicenseGPL
Version0.1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("VIRF")

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VIRF documentation built on May 1, 2019, 8:55 p.m.