geovol: Geopolitical Volatility (GEOVOL) Modelling

Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.

Package details

AuthorSusana Campos-Martins [aut, cre]
MaintainerSusana Campos-Martins <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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geovol documentation built on July 9, 2021, 9:09 a.m.