psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Apply the popular real-time monitoring strategy proposed by Phillips, Shi and Yu (2015a,b;PSY) <doi:10.1111/iere.12132>, <doi:10.1111/iere.12131>, along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control in recursive testing algorithms (Phillips and Shi, forthcoming).

Package details

AuthorPeter C.B. Phillips [aut], Shuping Shi [aut], Itamar Caspi [aut, cre]
MaintainerItamar Caspi <>
Package repositoryView on CRAN
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psymonitor documentation built on May 2, 2019, 1:33 p.m.