mgarchBEKK: Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes

Procedures to simulate, estimate and diagnose MGARCH processes of BEKK and multivariate GJR (bivariate asymmetric GARCH model) specification.

AuthorHarald Schmidbauer [aut], Angi Roesch [aut], Vehbi Sinan Tunalioglu [cre, aut]
Date of publication2016-04-10 00:49:46
MaintainerVehbi Sinan Tunalioglu <vst@vsthost.com>
LicenseGPL-3
Version0.0.2
https://github.com/vst/mgarchBEKK/

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Files

mgarchBEKK
mgarchBEKK/COPYING
mgarchBEKK/src
mgarchBEKK/src/loglikelihood.c
mgarchBEKK/src/matrixlib.c
mgarchBEKK/src/matrixlib.h
mgarchBEKK/src/loglikelihood.h
mgarchBEKK/src/loglikelihood_GJR.c
mgarchBEKK/NAMESPACE
mgarchBEKK/R
mgarchBEKK/R/BEKK.R mgarchBEKK/R/mGJR.R
mgarchBEKK/README.md
mgarchBEKK/MD5
mgarchBEKK/DESCRIPTION
mgarchBEKK/ChangeLog
mgarchBEKK/man
mgarchBEKK/man/simulateBEKK.Rd mgarchBEKK/man/mGJR.Rd mgarchBEKK/man/diagnoseBEKK.Rd mgarchBEKK/man/BEKK.Rd

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